(Universidad Icesi, 2013-01-01) Cárdenas Giraldo, Darwin; Herrera Cardona, Luis Guillermo
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.
