Modelos de valoración de opciones sobre títulos de renta fija: aplicación al mercado colombiano

Abstract

This paper presents and implements the Vasicek interest rate evolution model (1977) for the valuation of call and put options on a Colombian bond (TES maturing in 2020), supported by developing Balck-76 (1976). For the development of this application are made some scheduling algorithms in Visual Basic through the Excel spreadsheet calculations complemented by econometric estimate model input parameters. In advance of the work is that the Vasicek model does not yield satisfactory results for the valuation of options on debt securities in Colombia, especially the bonds issued by the national government to mature on July 24, 2020. However, by adjusting the model parameters based on empirical criteria consistent figures are obtained. Thus, the application made will help advance the issue of valuation of options on fixed income securities and interest rate coverage of the Colombian market, while allowing a stimulus towards the introduction and consolidation of such products financial.