Calibración - Monte Carlo ponderado
Cutting Edge
Considerar el efecto sonrisa al valorar derivados exóticos es una cuestión de gran interés para operadores de mercado y profesionales del sector. Ello se debe a que la repercusión de este efecto sobre el precio y la cobertura puede ser muy importante. Bajo la hipótesis de un mercado eficiente, la asimetría y la sonrisa en el mercado de opciones 'vanilla' pueden explicarse bien por el hecho de que la volatilidad no es constante o porque el proceso de precio del activo puede tener saltos.
Ha habido
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