Instrumento de cobertura: Heston en MexDer

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Ma. de Lourdes Najera Lopez http://orcid.org/0000-0002-6824-9561
Raúl de Jesús Gutiérrez http://orcid.org/0000-0001-6878-3038

Resumen

Se valida el modelo de Heston (1993) para opciones sobre MXN/USD calculando la diferencia que existe entre la prima teórica y la que emite el Mercado Mexicano de Derivados (MexDer). Se estimaron los parámetros en un periodo comprendido de 2003 a 2018 y se calcularon las primas de opciones europeas de compra (call) y venta (put) considerando los precios de ejercicio para el 9 de noviembre de 2018. Los resultados revelan sobrevaloración de opciones call OTM y ITM con una variación de 5.87% y 3.46% respectivamente y para opciones put OTM con un 11.41%, por lo que se ratifica que el modelo es confiable, además se confirma que es un instrumento de cobertura para todos aquellos inversionistas expuestos al riesgo del mercado cambiario. 

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Como citar
NAJERA LOPEZ, Ma. de Lourdes; GUTIÉRREZ, Raúl de Jesús. Instrumento de cobertura: Heston en MexDer. CIENCIA ergo-sum, [S.l.], v. 28, n. 3, nov. 2021. ISSN 2395-8782. Disponible en: <https://cienciaergosum.uaemex.mx/article/view/14080>. Fecha de acceso: 28 nov. 2021 doi: https://doi.org/10.30878/ces.v28n3a9.
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Ciencias sociales

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