{"id":85998,"date":"2018-03-10T00:10:29","date_gmt":"2018-03-10T00:10:29","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/ensayos-sobre-la-sonrisa-de-volatilidad-en-mercados-de-opciones\/"},"modified":"2018-03-10T00:10:29","modified_gmt":"2018-03-10T00:10:29","slug":"ensayos-sobre-la-sonrisa-de-volatilidad-en-mercados-de-opciones","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/ensayos-sobre-la-sonrisa-de-volatilidad-en-mercados-de-opciones\/","title":{"rendered":"Ensayos sobre la sonrisa de volatilidad en mercados de opciones"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Gregorio Serna Calvo <\/strong><\/h2>\n<p>La tesis comienza analizando los determinantes de la \u00absonrisa de volatilidad\u00bb en el mercado de opciones sobre el indice ibex-35,obteniendose evidencia de causalidad lineal en el sentido de granger de los costes de transacci\u00f3n, representados por el diferencial \u00abbid-ask\u00bb relativo, ala forma de la sonrisa. a continuaci\u00f3n, se propone un modelo de black-scholes ampliando donde la volatilidad depende del precio de ejercicio y del diferencial \u00abbid-ask\u00bb relativo, obteniendose que dicho modelo no mejora el comportamiento fuera de muestra del modelo de black-scholes (1973).  por \u00faltimo, se analiza el contenido informativo de los coeficientes de volatilidad, asimetria y curtosis implicitos en la formula propuesta por corrado-su (1996), obteniendose que la volatilidad impl\u00edcita contiene informaci\u00f3n sobre la volatilidad futura del subyacente, aunque es sesgada e ineficiente. Por su parte, los coeficientes de asimetria y curtosis implicitos no parecen contener informaci\u00f3n sobre la asimetria y curtosis realizadas, respectivamente.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Ensayos sobre la sonrisa de volatilidad en mercados de opciones<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Ensayos sobre la sonrisa de volatilidad en mercados de opciones <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Gregorio Serna Calvo <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Carlos III de Madrid<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 14\/07\/2000<\/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>Juan  Ignacio Pe\u00f1a S\u00e1nchez De Rivera<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: alejandro Balbas de la corte <\/li>\n<li>Manuel Campa jose (vocal)<\/li>\n<li>Francisco Javier Fernandez navas (vocal)<\/li>\n<li>angel Leon valle (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Gregorio Serna Calvo La tesis comienza analizando los determinantes de la \u00absonrisa de volatilidad\u00bb en el mercado [&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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