TY - JOUR
T1 - Valuación de opciones europeas sobre AMX-L, WALMEX-V y GMEXICO-B
T2 - Calibración de parámetros de volatilidad estocásticacon funciones cuadráticas de pérdida
AU - Ortiz-Ramírez, Ambrosio
AU - Venegas-Martínez, Francisco
AU - Durán-Bustamante, Mario
PY - 2014
Y1 - 2014
N2 - This paper proposes a methodology to estimate the parameters of the stochastic volatility model from Heston (1993) through quadratic loss functions, which minimize the error between market prices and theoretical prices. To do this, three classes of loss functions are stated, two of which correspond to prices and the other one to implied volatilities. The proposed methodology is applied to a set of option prices on AMX-L, WALMEX-V, and GMEXICO-B. The results indicate that for call options on AMX-L the generated implied volatilities are consistent with observed data under the criterion of the root of the mean quadratic error, while for call options on WALMEX-V and GMEXICO-B the generated implied volatilities are consistent with observed data under the criterion of the root of the mean quadratic relative error.
AB - This paper proposes a methodology to estimate the parameters of the stochastic volatility model from Heston (1993) through quadratic loss functions, which minimize the error between market prices and theoretical prices. To do this, three classes of loss functions are stated, two of which correspond to prices and the other one to implied volatilities. The proposed methodology is applied to a set of option prices on AMX-L, WALMEX-V, and GMEXICO-B. The results indicate that for call options on AMX-L the generated implied volatilities are consistent with observed data under the criterion of the root of the mean quadratic error, while for call options on WALMEX-V and GMEXICO-B the generated implied volatilities are consistent with observed data under the criterion of the root of the mean quadratic relative error.
UR - http://www.scopus.com/inward/record.url?scp=84948160960&partnerID=8YFLogxK
U2 - 10.20430/ete.v81i324.135
DO - 10.20430/ete.v81i324.135
M3 - Artículo
SN - 0041-3011
VL - 81
SP - 943
EP - 988
JO - Trimestre Economico
JF - Trimestre Economico
IS - 324
ER -