%0 Journal Article 
%T Modelos de valoración de opciones sobre títulos de renta fija: aplicación al mercado colombiano
%D 2011
%U http://hdl.handle.net/10906/67666
%X 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.
%K FACULTAD DE CIENCIAS ADMINISTRATIVAS Y ECONÓMICAS
%K PRODUCCIÓN INTELECTUAL REGISTRADA - UNIVERSIDAD ICESI
%K MAESTRÍA EN ADMINISTRACIÓN-TESIS
%K TASA DE INTERÉS
%K MERCADO BURSATIL
%K COLOMBIA
%K MODELOS DE INVERSIÓN
%K FINANZAS
%~ GOEDOC, SUB GOETTINGEN