Arbeitspapier
Una fórmula alternativa de valuar opciones americanas
We give a new way to price American options, using Samuelson's formula. We first obtain the option price corresponding to a European option at time t, weighting it by the probability that the underlying asset takes the value S at time t. This factor is given by the solution of the Fokker-Planck (Kolmogorov) equation for the transition probability density. The main advantage of this approach is that we can introduce systematically the effect of macroeconomic factors. If a macroeconomic framework is given by a dynamic system in the form of a set of ordinary differential equations we only have to solve a partial differential equation, for the transition probability density. In this context, we verify, for the sake of consistency, that this formula is consistent with the Black-Scholes model.
- Sprache
-
Spanisch
- Erschienen in
-
Series: Working Papers ; No. 2009-06
- Klassifikation
-
Wirtschaft
- Thema
-
american options
Fokker-Planck
Black-Scholes
Samuelson
density probability function
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Elizondo, Rocio
Padilla, Pablo
Bladt, Mogens
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Elizondo, Rocio
- Padilla, Pablo
- Bladt, Mogens
- Banco de México
Entstanden
- 2009
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