{"id":28250,"date":"2018-03-09T09:20:53","date_gmt":"2018-03-09T09:20:53","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/el-modelo-de-black-scholes-de-valoracion-de-opciones-analisis-cra%c2%adtico-de-los-supuestos-que-lo-fundamentan\/"},"modified":"2018-03-09T09:20:53","modified_gmt":"2018-03-09T09:20:53","slug":"el-modelo-de-black-scholes-de-valoracion-de-opciones-analisis-cra%c2%adtico-de-los-supuestos-que-lo-fundamentan","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/pais-vasco-euskal-herriko-unibertsitatea\/el-modelo-de-black-scholes-de-valoracion-de-opciones-analisis-cra%c2%adtico-de-los-supuestos-que-lo-fundamentan\/","title":{"rendered":"El modelo de black-scholes de valoraci\u00f3n de opciones: an\u00e1lisis cr\u00edtico de los supuestos que lo fundamentan"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Gerardo Arregui Ayastuy <\/strong><\/h2>\n<p>El objeto de la presente tesis doctoral es el modelo de valoraci\u00f3n de opciones de black-scholes, que es uno de los modelos econ\u00f3micos con mayor \u00e9xito de toda la teor\u00eda econ\u00f3mica y financiera del siglo xx. El modelo de black-scholes es el eje central de la teor\u00eda de valoraci\u00f3n de opciones, la cual es a su vez una de las \u00e1reas de las finanzas que ha conocido un mayor desarrollo en los \u00faltimos treinta a\u00f1os. Sin embargo, el modelo de black-scholes no se puede  considerar un instrumento de valoraci\u00f3n satisfactorio, puesto que proporciona, en general, valores sesgados. Adem\u00e1s, resulta evidente que la hip\u00f3tesis sobre las que se sustenta el modelo de black-scholes no se cumplen en realidad. En consecuencia, desde la aparici\u00f3n del modelo original se han desarrollado una gran cantidad de modelos de valoraci\u00f3n de activos derivados. El objetivo de la tesis doctoral es obtener un diagn\u00f3stico cr\u00edtico del modelo de valoraci\u00f3n de black-scholes y de sus extensiones, incidiendo en el an\u00e1lisis del realismo de sus supuestos b\u00e1sicos y de las repercusiones que tienen sobre la capacidad de estos modelos para reflejar el valor de mercado de las opcions, y en consecuencia, sobre su utilidad pr\u00e1ctica. Para ello se analizan los supuestos alternativos m\u00e1s relevantes, as\u00ed como los principales modelos alternativos construidos sobre estos nuevos supuestos, evaluando las ventajas e inconvenientes de los mismos a la luz de los contrastes emp\u00edricos realizados.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>El modelo de black-scholes de valoraci\u00f3n de opciones: an\u00e1lisis cr\u00edtico de los supuestos que lo fundamentan<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 El modelo de black-scholes de valoraci\u00f3n de opciones: an\u00e1lisis cr\u00edtico de los supuestos que lo fundamentan <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Gerardo Arregui Ayastuy <\/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 21\/01\/2004<\/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>Arturo Rodr\u00edguez Castellanos<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: jaume Gil aluja <\/li>\n<li>montserrat Casanovas ramon (vocal)<\/li>\n<li>matilde Fernandez blanco (vocal)<\/li>\n<li>Juan  Manuel Mascare\u00f1as perez i\u00f1igo (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Gerardo Arregui Ayastuy El objeto de la presente tesis doctoral es el modelo de valoraci\u00f3n de opciones [&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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