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Valoración de opciones.
En finanzas, un precio (prima) es pagado o recibido por la compra o venta de opciones. Este precio se puede dividir en dos componentes.
Estos son:
- Valor intrínseco
- Valor temporal
El valor intrínseco es la diferencia entre el precio subyacente y el precio de strike, referido al grado en que esto favorece al propietario de la opción.
La prima de la opción siempre es mayor que el valor intrínseco. Este dinero extra es para cubrir el riesgo que compromete la opción escritor/vendedor. A esto se le llama Valor temporal.
Entre los modelos más comunes se encuentran:
- Black–Scholes y el Modelo de Black
- Modelo del binomio
- Modelo de opciones de Monte Carlo
- Métodos de diferencias finitas para la valoración de opciones
Otros enfoques incluyen:
- Modelo de Heston
- Marco Heath–Jarrow–Morton
- Modelo de la varianza gamma (véase Proceso de varianza gamma)
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