Abstract

BENAVIDES F., JULIÁN. EVALUACIÓN DE LA APLICACIÓN DE DOS MODELOS DE VALORACIÓN DE OPCIONES A LA ADMINISTRACIÓN DE PORTAFOLIOS. estud.gerenc. [online]. 2002, vol.18, n.85, pp.13-39. ISSN 0123-5923.

The paper reviews some aspects of the option theory and proposes a method to implement portfolio insurance based on the binomial model, which is evaluated together with a similar method based on the Black-Scholes model. Using real data and simulations, I find that Black-Scholes method does better under "unstable " conditions; the binomial model excels for clear trends in asset prices (stable, decreasing or increasing for a long period).

Keywords : Portfolio insurance; Options; Binominal model; Black-scholes model; Excel.

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