Valuación de opciones asiáticas con volatilidad realizada y reversión a la media: caso CEMEXCPO

Abstract

Asian options pricing with realized volatility and mean reversion: CEMEXCPO case

The objective of this work is to value Asian options with realized volatility and mean reversion on the CEMEXCPO price using the Monte Carlo method. The dynamics of the underlying asset and its volatility are modeled under the correlated stochastic differential equations (SDE) approach. The estimation of EDE system parameters drives volatility according to Bishwal (2023). The application of the proposed methodology provides results sufficiently close to those observed for European options in The Mexican Derivatives Exchange (MexDer) for short terms.