%0 Journal Article 
%T Modelos de valoración de opciones sobre títulos de renta fija : aplicación al mercado colombiano
%J ESTUDIOS GERENCIALES;Vol. 29 No. 126  Enero/Marzo 2013
%D 2013
%@ 01235923
%U http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/1601
%X This paper is to evaluate the applicability of the Vasicek (1977) model of interest rate for valuing call and
put options on a fixed income Colombian security. For the development of this application are made, some
econometric estimation with volatility and autoregressive processes, these are necessary to find the model
input parameters. The progress of the model. Later on in the work finds that the model does not give
satisfactory results for options on Colombian bonds due to the high value of premiums. However, by
adjusting the model parameters based on empirical criteria consistent figures are obtained.
%K FACULTAD DE CIENCIAS ADMINISTRATIVAS Y ECONÓMICAS
%K PRODUCCIÓN INTELECTUAL REGISTRADA - UNIVERSIDAD ICESI
%K ADMINISTRACION  	RENTA FIJA; MERCADO COLOMBIANO; TASAS DE INTERÉS; MODELOS DE VALORACIÓN
%K TASAS DE INTERÉS
%K RENTA FIJA
%K MERCADO COLOMBIANO
%K MODELOS DE VALORACIÓN
%~ GOEDOC, SUB GOETTINGEN