Cobertura delta precisa de opciones europeas usando cálculo conformable
DOI:
https://doi.org/10.18381/eq.v21i1.7324Palabras clave:
option pricing; delta hedging; conformable calculus; risk managementResumen
Objetivo: desarrollar un método para la cobertura delta deportafolios de opciones europeas listadas con base en lateoría del cálculo conformable que mejora la precisión delas predicciones usando la aproximación de primer orden.Metodología: permitimos que la primera derivada en elmodelo clásico de Black-Scholes-Merton tenga un ordenfraccional 0 ≤ α ≤ 1 y calculamos la delta correspondiente de un portafolio como función de este parámetroconformable.Resultados: aplicando este método a un portafolio conformado de ocho opciones europeas listadas sobre el índice SPX, encontramos que la cobertura conformable genera predicciones más precisas, en promedio, que la cobertura tradicional.Limitaciones: este método es aplicable solamente a la cobertura delta (hedging) de opciones europeas.Originalidad: esta es la primera aplicación exitosa delcálculo conformable a la cobertura delta en opciones europeas.Conclusiones: la aplicación del cálculo conformable permite mayor flexibilidad en la aproximación local implícita en la cobertura delta de portafolios de acciones europeas y se ofrece como una metodología novel y de mayor precisión que la tradicional.Descargas
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