Valuación de opciones europeas y modelo de estructura de plazos Vasicek sobre subyacentes con características de memoria larga: el caso de México
DOI:
https://doi.org/10.29201/peipn.v3i6.264Keywords:
Fractional Brownian, stochastic process, Black-Scholes equationAbstract
The results of (R/S) methodology from fractals theory in order to determine the Hurst’s coefficient had shown the possibility of existence of long memory in some representative variables in Mexican market. However those results could be not statistically significant.
Fractional Brownian Motion (FBM) is a stochastic process more general than traditional brownian motion. FBM include a model independent process and no independent process. Using FBM and more general mathematical tools is possible to building Black-Scholes Fractional equation, European option valuation, general bonds equation and term structure from Vasicek model for persistent financial series. Those models are development for one Mexican financial variable and get interesting results.
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