{"id":7198,"date":"1995-01-01T00:00:00","date_gmt":"1995-01-01T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/1995\/01\/01\/valoracion-de-opciones-una-contrastacion-del-modelo-de-difusion-con-saltos-de-merton\/"},"modified":"1995-01-01T00:00:00","modified_gmt":"1995-01-01T00:00:00","slug":"valoracion-de-opciones-una-contrastacion-del-modelo-de-difusion-con-saltos-de-merton","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/valoracion-de-opciones-una-contrastacion-del-modelo-de-difusion-con-saltos-de-merton\/","title":{"rendered":"Valoracion de opciones: una contrastacion del modelo de difusion con saltos de merton."},"content":{"rendered":"<h2>Tesis doctoral de <strong> Rosa Mar\u00eda Lorenzo Alegria <\/strong><\/h2>\n<p>En este trabajo de investigacion se hace una revision teorica de los diferentes modelos de valoracion de opciones, en la que se incluyen las modelizaciones mas recientes en cuanto a la consideracion de volatilidades estocasticas para la rentabilidad del subyacente de la opcion. Se hace un desarrollo teorico, y metodologico del proceso estocastico de difusion con saltos para describir la dinamica de la rentabilidad del activo, propuesto en el modelo de valoracion de opciones de merton (1976).  tambien se analizan los diferentes metodos de estimacion de los parametros de un proceso de difusion con saltos, proponiendose entre ellos el metodo de los cumulantes.  finalmente, se contrasta empiricamente el modelo de valoracion de merton en el mercado espa\u00f1ol de opciones sobre acciones, concretamente, la valoracion de opciones de compra sobre las acciones de telefonica. Los resultados confirman la superioridad del modelo de merton respecto al de black-scholes para predecir los valores observados, aunque se detectan sesgos similares a los tipicos de black-scholes, aunque en menor medida.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Valoracion de opciones: una contrastacion del modelo de difusion con saltos de merton.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Valoracion de opciones: una contrastacion del modelo de difusion con saltos de merton. <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Rosa Mar\u00eda Lorenzo Alegria <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 La laguna<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 01\/01\/1995<\/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>Francisco Perez Calatayud<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Emilio Ontiveros Baeza <\/li>\n<li>Dulce Contreras Bayarri (vocal)<\/li>\n<li> Valero Lopez Francisco J. (vocal)<\/li>\n<li>Gonzalo Rubio Irigoyen (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Rosa Mar\u00eda Lorenzo Alegria En este trabajo de investigacion se hace una revision teorica de los diferentes [&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 center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[82,9915,737,19778],"tags":[12312,26122,26121,19352,26120,26123],"class_list":["post-7198","post","type-post","status-publish","format-standard","hentry","category-ciencias-economicas","category-la-laguna","category-teoria-economica","category-teoria-monetaria","tag-dulce-contreras-bayarri","tag-emilio-ontiveros-baeza","tag-francisco-perez-calatayud","tag-gonzalo-rubio-irigoyen","tag-rosa-maria-lorenzo-alegria","tag-valero-lopez-francisco-j"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/7198","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/comments?post=7198"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/7198\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=7198"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=7198"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=7198"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}