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Christian Camilo Cortés ;Sistemas & Telemática 2017, 15 40

Autor: Álvaro Javier Cangrejo

Fuente: http://www.redalyc.org/articulo.oa?id=411550688003


Introducción



Sistemas & Telemática ISSN: 1692-5238 EditorSyT@icesi.edu.co Universidad ICESI Colombia Cangrejo, Álvaro Javier; Cortés, Christian Camilo Options valuation analysis of the shares of Ecopetrol and Pacific Exploration between June 2013 and June 2016 Sistemas & Telemática, vol.
15, núm.
40, 2017, pp.
41-53 Universidad ICESI Cali, Colombia Disponible en: http:--www.redalyc.org-articulo.oa?id=411550688003 Cómo citar el artículo Número completo Más información del artículo Página de la revista en redalyc.org Sistema de Información Científica Red de Revistas Científicas de América Latina, el Caribe, España y Portugal Proyecto académico sin fines de lucro, desarrollado bajo la iniciativa de acceso abierto Cangrejo, Á.
& Cortés, C.
(2017).
Options valuation analysis of the shares of Ecopetrol and Pacific Exploration between June 2013 and July 2016.
Sistemas & Telemática, 15(40), 41-53.
doi:10.18046-syt.v15i40.2390 Original research - Artículo original - Pesquisa original - Tipo 1 Options valuation analysis of the shares of Ecopetrol and Pacific Exploration between June 2013 and June 2016 Álvaro Javier Cangrejo MSc(c).
- alvaro.cangrejo@correounivalle.edu.co Christian Camilo Cortés, MSc.
- christian.cortes@usco.edu.co Universidad Surcolombiana, Neiva-Colombia ABSTRACT In this paper, we analyze the environment and the dynamics of the Black-Scholes model starting from a stochastic differential equation that explains the evolution of the future prices of an asset.
With these defined guidelines, the data obtained by the daily closing prices between June 2013 and June 2016 of the shares of Ecopetrol and Pacific Exploration are normalized, by means of a Box-Cox transformation, to determine the volatility of each of them and apply this model to calculate the value of the asset with fixed time, and thus determine which of the two oil companies have a lower risk at the time of investing. KEYWORDS Black-Schole Model; fluctuation; European option; ...





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