{"id":12177,"date":"2001-11-07T00:00:00","date_gmt":"2001-11-07T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/un-modelo-simiparametricos-de-valoracion-de-opciones-el-efecto-de-la-liquidez\/"},"modified":"2001-11-07T00:00:00","modified_gmt":"2001-11-07T00:00:00","slug":"un-modelo-simiparametricos-de-valoracion-de-opciones-el-efecto-de-la-liquidez","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/un-modelo-simiparametricos-de-valoracion-de-opciones-el-efecto-de-la-liquidez\/","title":{"rendered":"Un modelo simiparam\u00e9tricos de valoraci\u00f3n de opciones. el efecto de la liquidez"},"content":{"rendered":"<h2>Tesis doctoral de <strong> M\u00f3nica Gago Garc\u00eda <\/strong><\/h2>\n<p>Parece clara la importancia creciente que los mercados de derivados han cobrado en el mundo de las finanzas durante los \u00faltimos 30 a\u00f1os. En esta investigaci\u00f3n nos hemos centrado en el estudio de las opciones europeas.  el trabajo fundamental en la literatura sobre activos derivados es el realizado por black y scholes (bs) (1973), que derivan una f\u00f3rmula cerrada de valoraci\u00f3n de opciones europeas. Bajo sus supuestos b\u00e1sicos, todas las opciones sobre un mismo activo subyacente con el mismo tiempo al vencimiento pero con diferentes precios de ejercicio deber\u00edan tener la misma volatilidad impl\u00edcita. Sin embargo, la conocida sonrisa de la volatilidad de bs. Varias han sido las extensiones al modelo de bs para hacer frente a este fallo, todas ellas desarrolladas en un marco competitivo, sin fricciones. Longstaff (1995) y pe\u00f1a, rubio y serna (1999) muestran la importancia de los costes de liquidez en la valoraci\u00f3n.  una forma flexible de incorporar de manera end\u00f3gena los costes de liquidez es la estimaci\u00f3n de forma no param\u00e9trica de la funcion de volatilidad impl\u00edcita en los precios de las opciones, obteniendo que la inclusi\u00f3n de la variable liquidez es bastante \u00fatil si empleamos opciones cercanas en el tiempo. en cualquier caso, tanto el mdoelo no param\u00e9trico que incluye liquidez como el que no la incluye como variable explicativa suponen una mejora clara conr especto a la modelo de bs en t\u00e9rminos de valoraci\u00f3n diaria fuera de la muestra.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Un modelo simiparam\u00e9tricos de valoraci\u00f3n de opciones. el efecto de la liquidez<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Un modelo simiparam\u00e9tricos de valoraci\u00f3n de opciones. el efecto de la liquidez <\/li>\n<li><strong>Autor:<\/strong>\u00a0 M\u00f3nica Gago Garc\u00eda <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Pa\u00eds vasco\/euskal herriko unibertsitatea<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 11\/07\/2001<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Eva Ferreira Garc\u00eda<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: fernando Tusell palmer <\/li>\n<li>\u00c1lvaro Escribano saez (vocal)<\/li>\n<li> Campa fern\u00e1ndez Jos\u00e9 Manuel (vocal)<\/li>\n<li>Juan Romo urroz (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de M\u00f3nica Gago Garc\u00eda Parece clara la importancia creciente que los mercados de derivados han cobrado en el [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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