EVALUACIÓN DE LA APLICACIÓN DE DOS MODELOS DE VALORACIÓN DE OPCIONES A LA ADMINISTRACIÓN DE PORTAFOLIOS (Article published in Spanish)

Authors

  • Julián Benavides Director del Departamento de Finanzas Universidad Icesi Ph. D. (C). Tulane University Ph. D. (C). Universidad Icesi

Keywords:

Portfolio insurance, Options, Binominal model, Black-scholes model, Excel

Abstract

The paper reviews some aspects of the option theory and proposes a method to implement portfolio insurance based on the binomial model, which is evaluated together with a similar method based on the Black-Scholes model. Using real data and simulations, I find that Black-Scholes method does better under "unstable " conditions; the binomial model excels for clear trends in asset prices (stable, decreasing or increasing for a long period).

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Published

2002-12-31

Issue

Section

Research articles

How to Cite

EVALUACIÓN DE LA APLICACIÓN DE DOS MODELOS DE VALORACIÓN DE OPCIONES A LA ADMINISTRACIÓN DE PORTAFOLIOS (Article published in Spanish). (2002). Estudios Gerenciales, (85), 13-40. https://webcache.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/97