EVALUACIÓN DE LA APLICACIÓN DE DOS MODELOS DE VALORACIÓN DE OPCIONES A LA ADMINISTRACIÓN DE PORTAFOLIOS (Article published in Spanish)
Keywords:
Portfolio insurance, Options, Binominal model, Black-scholes model, ExcelAbstract
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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