APROXIMACIÓN ANALÍTICA AL PRECIO DE UNA OPCIÓN AMERICANA: EVALUACIÓN A UN AÑO DE SU APARICIÓN EN MEXDER

Authors

  • Igor P. Rivera Centro de Investigación en Finanzas Tecnológico de Monterrey, Campus Ciudad de México

DOI:

https://doi.org/10.21919/remef.v4i3.204

Abstract

The aftermath on the first aniversary of launching American call options on America Movil L stock shows that thier price dynamics is quite similar to that of the corresponding European call options, because dividends on the stock are relatively small. This paper shows empirical evidence of such behavior and states that, in some way, Black-Scholes valuation formula could have been used to proxy the American call price within the sampled dates.

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Section

Artículos