Derivados financieros

Solo disponible en BuenasTareas
  • Páginas : 8 (1930 palabras )
  • Descarga(s) : 0
  • Publicado : 24 de marzo de 2011
Leer documento completo
Vista previa del texto
| | |
| ||
| | |
| ||
| | |precio strike |precio call | |

| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | || | | | | | | | | | | | | | | | | | | | | | | | | | |So |1,895.56 | | | | | | | | | | | |k |1,900.00 | | | | | | | | | | | |t |0.25 | | | | | | | | | | | |r cop |3.00% | | | | | | | | | | | |q usd |1.00% | | | | | | | | | | | |σ |0.68% | | | | | | | | | | | |Nodos |3 | | | | | | | | | | | | | | | | | | | | | | | |BINOMIAL |U: |e^(σ*√∆t) : |1.0020 | | | | | |1906.7407 | | | | |D: |e^(-σ*√∆t) :|0.9980 | | | | | | | | | | | | | | | | | |1903.0065 | | | | | |u: |U-1 : |0.0020 | | | | | | | | | | |d: |1-D : |0.0020 | | | |1899.2796 | |1899.2796 | | | | | | | | | | | | | | | | | |P: |e^(r*∆T) - D : |0.9250 | | |1895.5600 | |1895.5600 | | | | | | |U -D | | | | | | | | | | | |1-P : | |0.0750 | | | |1891.8477 | |1891.8477 | | | | | | | | | | | | | | | | | | | | | | | | |1888.1426 | | | | | | | || | | | | | | | | | | | | | | | | | |1884.4448 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |6.7407 | | | | | | | | | | | | | | | | | | | | | | | | |6.2245 | | | | | | | | | | | | | | | | | | | | | | | | |5.7478 | |0.0000 | | | | | | | | | | | | | | | | | | | | | | |5.3076 | |0.0000 | | | | | | | | | | | | | | | | | | | | | | | | |0.0000 | |0.0000 | | | | | | | | || | | | | | | | | | | | | | | |0.0000 | | | | | | | | | | | | | | | | | | | | | | | | | | |0.0000 | | | |

| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |So |1,895.56 | | | | | | | | | | | ||k |1,900.00 | | |c: |So*e^(-rf*T)*N(d1) - K*e^(-r*T)*N(d2) | | | | | | |t |0.25 | | |p: | K*e^(-r*T)*N(-d2) - So*e^(-rf*T)*N(d1) | | | | | | |r cop |3.00% | | | | | | | | | | | | |q usd |1.00% | | |d1: |(ln(So/k) + (r-rf+0.5σ2)*T)/σ√T | | | | | | |σ |0.68% | | |d2: |d1 - σ√T | | | | | | | | |  |  | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |d1: |-0.0023 |0.0050 |0.0034|0.78522845 | | | | | | | | | |d2: |0.78 | | | | | | | | | | | | |c: |1,895.56 |0.99750312 |0.783840182 |1,900.00 |0.992528055 |0.78284 |5.81706262 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |

| | | | | | | | | | | | | | | | | | | | | | | | | | | | || | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |So |1,895.56 | | | | | | | | | | | |k |1,900.00 | | | | | | | | | | | |∆t |0.083333333 | | | | | | | | | | | |r cop |3.00% | | | | | | | | | | | |q usd |1.00% | | | | | | | | | | | |σ |0.68% | | | | | | | | | | | |Nodos...
tracking img