Estrategia Mariposa mediante opciones europeas de compra y venta en escenarios Monte Carlo con volatilidad conducida por un modelo GARCH-M (1,1)

Ambrosio Ortiz-Ramírez; Héctor Alonso Olivares Aguayo; Gabriel Alberto Agudelo Torres; Luis Ceferino Franco Arbeláez; Luis Eduardo Franco Ceballos

Estrategia Mariposa mediante opciones europeas de compra y venta en escenarios Monte Carlo con volatilidad conducida por un modelo GARCH-M (1,1)

Translated title of the contribution: Butterfly Strategy using European call and put options in Monte Carlo scenarios with volatility driven by a GARCH-M (1, 1) Model

Ambrosio Ortiz-Ramírez, Héctor Alonso Olivares Aguayo, Gabriel Alberto Agudelo Torres, Luis Ceferino Franco Arbeláez, Luis Eduardo Franco Ceballos

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper speculative volatility strategies are generated for European option pricing on the Mexican Stock Exchange (IPC) and on four components this (ALFAA, AMXL, BIMBOA y KIMBERA), under the assumption that the volatility of the underlying asset is driven by a GARCH-M (1,1) model calibrated with historical data and the option price is obtained by Monte Carlo simulation. With volatility strategies built with simulated options prices, it was determined that the butterfly strategy is adequate to make investments to 45 days in the Mexican market (IPC) and to 45 and 90 days in ALFAA, AMXL, BIMBOA and KIMBERA.

Translated title of the contribution	Butterfly Strategy using European call and put options in Monte Carlo scenarios with volatility driven by a GARCH-M (1, 1) Model
Original language	Spanish
Article number	7
Journal	Espacios
Volume	37
Issue number	30
State	Published - 2016
Externally published	Yes

Cite this

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title = "Estrategia Mariposa mediante opciones europeas de compra y venta en escenarios Monte Carlo con volatilidad conducida por un modelo GARCH-M (1,1)",

abstract = "In this paper speculative volatility strategies are generated for European option pricing on the Mexican Stock Exchange (IPC) and on four components this (ALFAA, AMXL, BIMBOA y KIMBERA), under the assumption that the volatility of the underlying asset is driven by a GARCH-M (1,1) model calibrated with historical data and the option price is obtained by Monte Carlo simulation. With volatility strategies built with simulated options prices, it was determined that the butterfly strategy is adequate to make investments to 45 days in the Mexican market (IPC) and to 45 and 90 days in ALFAA, AMXL, BIMBOA and KIMBERA.",

keywords = "GARCH, Monte Carlo, Option pricing, Volatility",

author = "Ambrosio Ortiz-Ram{\'i}rez and {Olivares Aguayo}, {H{\'e}ctor Alonso} and {Agudelo Torres}, {Gabriel Alberto} and {Franco Arbel{\'a}ez}, {Luis Ceferino} and {Franco Ceballos}, {Luis Eduardo}",

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TY - JOUR

T1 - Estrategia Mariposa mediante opciones europeas de compra y venta en escenarios Monte Carlo con volatilidad conducida por un modelo GARCH-M (1,1)

AU - Ortiz-Ramírez, Ambrosio

AU - Olivares Aguayo, Héctor Alonso

AU - Agudelo Torres, Gabriel Alberto

AU - Franco Arbeláez, Luis Ceferino

AU - Franco Ceballos, Luis Eduardo

PY - 2016

Y1 - 2016

N2 - In this paper speculative volatility strategies are generated for European option pricing on the Mexican Stock Exchange (IPC) and on four components this (ALFAA, AMXL, BIMBOA y KIMBERA), under the assumption that the volatility of the underlying asset is driven by a GARCH-M (1,1) model calibrated with historical data and the option price is obtained by Monte Carlo simulation. With volatility strategies built with simulated options prices, it was determined that the butterfly strategy is adequate to make investments to 45 days in the Mexican market (IPC) and to 45 and 90 days in ALFAA, AMXL, BIMBOA and KIMBERA.

AB - In this paper speculative volatility strategies are generated for European option pricing on the Mexican Stock Exchange (IPC) and on four components this (ALFAA, AMXL, BIMBOA y KIMBERA), under the assumption that the volatility of the underlying asset is driven by a GARCH-M (1,1) model calibrated with historical data and the option price is obtained by Monte Carlo simulation. With volatility strategies built with simulated options prices, it was determined that the butterfly strategy is adequate to make investments to 45 days in the Mexican market (IPC) and to 45 and 90 days in ALFAA, AMXL, BIMBOA and KIMBERA.

KW - GARCH

KW - Monte Carlo

KW - Option pricing

KW - Volatility

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M3 - Artículo

SN - 0798-1015

VL - 37

JO - Espacios

JF - Espacios

IS - 30

M1 - 7

ER -

Estrategia Mariposa mediante opciones europeas de compra y venta en escenarios Monte Carlo con volatilidad conducida por un modelo GARCH-M (1,1)

Abstract

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