Decisiones óptimas de consumo y portafolio con opciones asiáticas de tipo americano en un modelo de equilibrio general dinámico estocástico
DOI:
https://doi.org/10.24275/uam/azc/dcsh/ae/2020v35n89/MartinezPPalabras clave:
Stochastic optimal control, portfolio choice, American-style Asian option pricing, stochastic interest rateResumen
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.
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