Valor en riesgo para un portafolio con opciones financieras Value at risk for a financial portfolio with options

En este artículo se presentan y aplican diferentes formulaciones matemáticas, exactas y aproximadas, para el cálculo del valor en riesgo (VaR) de algunos portafolios con activos financieros, haciendo especial énfasis en aquellos que contienen opciones financieras. El uso y pertinencia de tales formu...

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Bibliographic Details
Published in:	Revista Ingenierías Universidad de Medellín
Main Authors:	Carlos Alexánder Grajales Correa, Fredy Ocaris Pérez Ramírez
Format:	Article
Language:	English
Published:	Universidad de Medellín 2010-07-01
Subjects:	VaR EWMA movimiento browniano opciones financieras Brownian movement financial options
Online Access:	http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S1692-33242010000200009

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