Decisiones óptimas de consumo y portafolio con opciones asiáticas de tipo americano en un modelo de equilibrio general dinámico estocástico

  • Ma. Teresa Verónica Martínez Palacios Instituto Politécnico Nacional-Escuela Superior de Economía
  • Ambrosio Ortíz-Ramírez Instituto Politécnico Nacional- Escuela Superior de Economía
  • Francisco Venegas Martínez Instituto Politécnico Nacional-Escuela Superior de Economía
Palabras clave: Stochastic optimal control, portfolio choice, American-style Asian option pricing, stochastic interest rate

Resumen

This work developed a dynamic stochastic general equilibrium model about the consumption and investment decisions of a representative risk averse agent, for a small and closed economy, constrained to the market risk of the assets in the portfolio with a finite time horizon of stochastic length. It is assumed that the agent has access to three assets: a stock, whose interest rate is stochastic, an option subscribed on the stock and a risk-free bond. The prices of the assets are quoted in units of the consumer good, and there are no taxes and no transaction costs for the maintenance of the portfolio. The proposed problem is useful to characterize the premium of an American-style Asian put option with floating strike as the solution of a partial differential equation.

Biografía del autor

Ma. Teresa Verónica Martínez Palacios, Instituto Politécnico Nacional-Escuela Superior de Economía

Instituto Politécnico Nacional, Escuela Superior de Economía

Ambrosio Ortíz-Ramírez, Instituto Politécnico Nacional- Escuela Superior de Economía

Instituto Politécnico Nacional, Escuela Superior de Economía

Francisco Venegas Martínez, Instituto Politécnico Nacional-Escuela Superior de Economía

Instituto Politécnico Nacional, Escuela Superior de Economía

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Publicado
2020-05-15