Resumen
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.
Título traducido de la contribución | Butterfly Strategy using European call and put options in Monte Carlo scenarios with volatility driven by a GARCH-M (1, 1) Model |
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Idioma original | Español |
Número de artículo | 7 |
Publicación | Espacios |
Volumen | 37 |
N.º | 30 |
Estado | Publicada - 2016 |
Publicado de forma externa | Sí |
Palabras clave
- GARCH
- Monte Carlo
- Option pricing
- Volatility