Services

62 pages
3 views

Mercado Mercado de Derivados de Derivados Financieros: Futuros y Financieros: Futuros y Opciones Opciones

of 62
All materials on our website are shared by users. If you have any questions about copyright issues, please report us to resolve them. We are always happy to assist you.
Share
Description
Mercado Mercado de Derivados de Derivados Financieros: Futuros y Financieros: Futuros y Opciones Opciones
Transcript
    Mercado de Derivados Financieros: Futuros y Opciones © Juan Mascareñas Universidad Complutense de Madrid Primera versión: enero 1991   - Última versión: diciembre 2012   - Introducción a los futuros financieros, 1 - La cámara de compensación (clearing house), 5 - Algunas características de los contratos de futuros, 9 - La paridad entre el precio del futuro y el de contado, 16 - Introducción a las opciones financieras, 17 - Descripción de las opciones, 19 - Opciones de compra (call options), 23 - Opciones de venta (put options), 29 - Factores que determinan el valor de una opción, 34 - El método binomial de valoración de opciones, 39 - El modelo de Black & Scholes, 46 - La cobertura de riesgo con opciones, 48 - Bibliografía, 51 - Enlaces de interés, 51 - Anexos, 52      Monografías de Juan Mascareñas sobre Finanzas Corporativas ISSN: 1988-1878 42. Mercado de Derivados Financieros: Futuros y Opciones   1 Un activo derivado   es un activo financiero o real cuyo precio depende – se deriva- del precio de otro activo al que se denomina subyacente 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 - )' )&-.!*.& (# 23.3!&$ 2"-*-)"#!&$ 9 :' 1-, 7-'.+$.-, /(  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 23.3!&$ 2"-*-)"#!&$  ,( F$7( +(E(+('7&$< *+&'7&*$1#('.(< $ 1-,  23.3!&$ $&4,!# ("5"$*$ <  $&,!# ."/&$ (# "-.#!6$ < $&,!# 7-(")#$  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 Q) *+&'7&*$1 7$+$7.(+8,.&7$ (, 1$ -&!+*0"1*)"8-  /( 1-, 7-'.+$.-, ,-3+( $7.&C-, E&'$'7&(+-,< 1- 2)( &#*1&7$ 2)( 1-, 7-'.+$.-, '(%-7&$/-, 7-++(,*-'/(' .-/-, $ 1$ #&,#$ 7$'.&/$/ G .&*-< $,8 7-#- $1 #&,#- +$'%- /( E(7F$, E).)+$,9 >-+ (D(#*1-< (1 7-'.+$.- /( E).)+-, ,-3+( :)+-RSQT    Monografías de Juan Mascareñas sobre Finanzas Corporativas ISSN: 1988-1878 42. Mercado de Derivados Financieros: Futuros y Opciones   2 (' B"UU: K 9&-(&- :-.#!-*."&-*0 ;"-*-)"*0 ;3.3!#$ <=)>*-%# L .&('( )' C$1-+ '-#&'$1 /( V;9;;; ()+-, G C('7( 1-, #(,(, /( #$+4-< D)'&-< ,(*.&(#3+( G /&7&(#3+( KC(+ .$31$ WL9 X$31$ W H-'.+$.- /( E).)+-, :)+-RT61$+ (' B"UU: YF..*NRRZZZ9()+-'([.97-#R1$'/&'%R1&EE(B$'/&'%5WV\;W5:]9F.#1^ X$31$ V T&E(+('7&$, ('.+( 1-, 7-'.+$.-, $ *1$4- G 1-, 7-'.+$.-, /( E).)+-,    Monografías de Juan Mascareñas sobre Finanzas Corporativas ISSN: 1988-1878 42. Mercado de Derivados Financieros: Futuros y Opciones   3 :,.- &#*1&7$ 2)( 1-, &'C(+,-+(, 2)( /(,((' 7)3+&+,( *-+ )'$ 7$'.&/$/ /&E(+('.( - $ )' *1$4- /&,.&'.-< ,61- *-/+@' ).&1&4$+ (1 #(+7$/- /( E).)+-, *$+$ )'$ 7-3(+.)+$ *$+7&$1 G $,)#&+@' )' 7&(+.- %+$/- /( !"#$%& !#$"(3*0  9 :,.( ,$7+&E&7&- /( 1$ (1(77&6' /(1 *1$4- /(,($/- G /( 1$ 7$'.&5/$/ 2)( #(D-+ +(,*-'/$ $ ,), *+(C&,&-'(, $ 7$#3&- /( )'$ #$G-+ 1&2)&/(4 (, 1- 2)( F$7( 2)( 1-, )&-.!*.&$ * /0*1&  KC(+ .$31$ VL '- /(,$*$+(47$' ,&'- 2)( ,($' 7-#*1(#('.$+&-, $ 1-, /( E).)+-,9 MF-+$ 3&('< $_' 7)$'/- (1 &'.(+7$#3&- /( 3&('(, G /&'(+- ,)7(/(+@ -31&%$.-+&$#('.( (' (1 E).)+-< 7$/$ )'$ /( 1$, *$+.(, /(3(+@ /(*-,&.$+ )'$ 7$'.&/$/ (' 7-'7(*.- /( %*!*-.7*  K +*!4%"- L /( 2)( 11(C$+@ $ 7$3- ,) -31&%$7&6'9 T( (,.$ #$'(+$ 7)$12)&(+ &'C(+,-+ *)(/( *$+.&7&*$+ (' (1 #(+7$/- ,&' 2)( ,($ '(7(,$+&- -3.('(+ &'E-+#$7&6' $1%)'$ ,-3+( ,) ,-1C('7&$9 `@,&7$5#('.(< (1 #(7$'&,#- /( %$+$'.8$ (, #)G ,('7&11-N (' )' #(+7$/- (' 2)( 1$ C$+&$7&6' #@[&5#$ /( 1$, 7-.&4$7&-'(, (, /(1 [a< ,( ([&%&+@ /(1 &'C(+,-+ )'$ %$+$'.8$< - /(*6,&.-< (2)&C$1('5.( $1 V[a9 :,.( ,(+@ (1 '&C(1 #8'&#- /( %$+$'.8$ ([&%&/- G< /( '- -3.('(+,(< 1$ *-,&7&6' /(1 &'5C(+,-+ ,(+@ 1&2)&/$/$ (' (,( #-#('.- *$+$ F$7(+ E+('.( $ ,), *O+/&/$, W 9 B$, %$'$'7&$, G *O+/&/$, ,( -3.&('(' 76#- #@+%('(, /&$+&-,< 1- 7)$1 .&('( )'$ &'E1)('7&$ ,-3+( 1$ 1&2)&/(4 /(1 &'C(+,-+9 M (,.( *+-7(,- /( $D),.( /&$+&- ,( 1( 7-'-7( 7-#- +*!? .& +*!?#.  < 2)( *-/+8$5#-, .+$/)7&+ 7-#- *@3$.# *0 +#!)*(&  G 2)( (' +($1&/$/ 7-'C&(+.( $1 7-'.+$.- /( E).)+-, (' )'$ 7$/('$ /( )&-.!*.&$ * /0*1&  /&$+&-, KE&%9 WL9 U&%9 W :1 7-'.+$.- /( E).)+-,< /(3&/- $1 *+-7(,- /( $D),.( $1 #(+7$/-< (, (' +($1&/$/ )'$ ,(+&( /( 7-'.+$.-, $ *1$4- /&$+&-, ('7$/('$/-, b(,)#&('/-< 1$, *+&'7&*$1(, 7$+$7.(+8,.&7$, /( )' #(+7$/- /( E).)+-, E&'$'7&(+-, ,)(1(' ,(+N $L B-, 7-'.+$.-, (,.@' '-+#$1&4$/-, G ,( +($1&4$' (' )'$ ,(+&( /( E(7F$, /(.(+#&'$/$, *$+$ )'$, 7$'.&/$/(, /( $7.&C-, E&'$'7&(+-, *+(/(.(+#&'$/$,9 1   H)$'/- (1 ,$1/- /( 1$ 7)('.$ /(1 &'C(+,-+ /(,7&('/( *-+ /(3$D- /(1 C$1-+ /( 1$ %$+$'.8$< 1$ 7@#$+$ /( 7-#*(',$7&6' /(1 #(+7$/- 1( +(71$#$ 2)( +(*-'%$ (1 /&'(+- 2)( E$1.$ *$+$ 7)3+&+ /&7F$ %$+$'.8$9 M (,.- ,( 1( /('-#&'$ +*!%"- )*00  < (' &'%1O, K/( $F8 (1 .8.)1- /( 1$ *(187)1$ /( 7&'( /( V;WW /(1 #&,#- '-#3+( *+-.$%-'&4$/$ *-+ c(+(#G "+-', G d(C&' Q*&7(G ('.+( -.+-,L9      Monografías de Juan Mascareñas sobre Finanzas Corporativas ISSN: 1988-1878 42. Mercado de Derivados Financieros: Futuros y Opciones   4 3L B-, .8.)1-, ,)3G$7('.(, K/&C&,$,< 3-'-,< (.79L ,-' ('.+(%$/-, $ .+$CO, /( )'$ )A+*!* (# )&+/#-$*)"8- < 1$ 7)$1 %$+$'.&4$ (1 7)#*1&#&('.- /( 1-, 7-'.+$.-, +($1&4$/-, ('.+( ,), #&(#3+-,9 7L B$ ('.+(%$ /(1 &',.+)#('.- E&'$'7&(+- ,)3G$7('.( (' 1$ E(7F$ /(1 C('7&#&('.- /(1 7-'.+$.- /( E).)+-, ,)(1( ,(+ 3$,.$'.( +$+$< *-+ 1- %('(+$1< ,)(1(' ,(+ 1&2)&/$/-, $'.(, /( /&7F$ E(7F$9 /L >$+$ )' /(.(+#&'$/- 7-'.+$.- /( E).)+-, E&'$'7&(+-, 1$ 1&2)&/(4 /(3(+@ ,(+ $1.$< - (1 7-'.+$.- /(,$*$+(7(+@9 X$31$ e X$31$ /( 7-.&4$7&-'(, /(1 E).)+- ,-3+( (1 `-'- W; (' (1 f:UU KU(7F$N V;5D)15V;WV9 ]-.$N W .&7g h W; i9 X$#$0- /(1 7-'.+$.-N W;;9;;; i9 j(+ $'([- WL F..*NRRZZZ9#(EE97-#R$,*[RU&'$'7&(+-RU&7F$9$,*[A.&7g(+h`W; X$31$ k X$31$ /( 7-.&4$7&-'(, /(1 E).)+- ,-3+( (1 "3([ el $0-, (' (1 f:UU KU(7F$N V;5D)15V;WV9 ]-#&'$1 /(1 7-'.+$.-N H-.&4$7&6' /(1 "3([ el [ W; i9 j(+ $'([- VL F..*NRRZZZ9#(EE97-#R$,*[RU&'$'7&(+-RU&7F$9$,*[A.&7g(+hU": :' 7)$12)&(+ *)31&7$7&6' (,*(7&$1&4$/$ ,-3+( #(+7$/-, E&'$'7&(+-, $*$+(7(+@' ,&(#*+( 1-, ,&%)&('.(, /$.-, K.$31$ eLN m :1  /!#)"& (# */#!.3!*  K &/#- /!")# L< $1 2)( ,( F&4- 1$ *+&#(+$ .+$',$77&6' KnV<ln (' 1$ .$31$ eL m B-, *+(7&-,< #@, *0.& < #@, ,*@&  G (1 /( )"#!!#  /(1 /8$ KnV<oVP n;<\;P nW<W= +(,*(7.&C$5#('.(< (' 1$ .$31$ eL m :1  /!#)"& (# 0"B3"(*)"8-  K $#..0#+#-.  L< 2)( (, )' *+(7&- +(*+(,('.$.&C- K#(/&$ /(1 #@, $1.- G (1 #@, 3$D-< *-+ (D(#*1-L /)+$'.( (1 *(+8-/- (' 2)( (1 #(+7$/- (,.@ 7(++$/-9 >)(/( 7-&'7&/&+ 7-' (1  /!#)"& (# )"#!!# 9
Related Documents
View more...
We Need Your Support
Thank you for visiting our website and your interest in our free products and services. We are nonprofit website to share and download documents. To the running of this website, we need your help to support us.

Thanks to everyone for your continued support.

No, Thanks