Resumo

MARTINEZ-PALACIOS, Ma. Teresa V.  e  VENEGAS-MARTINEZ, Francisco. Un modelo macroeconómico con agentes de vida finita y estocástica: cobertura de riesgo de mercado con derivados americanos. Econ: teor. práct [online]. 2014, n.41, pp.71-106. ISSN 2448-7481.

This paper develops a stochastic model of a small and open economy populated by identical rational consumers having finite life but stochastic, who are risk averse and have an initial wealth. These agents face the decision to allocate his wealth between consumption and investment in a portfolio of assets under an environment of risk market and uncertain fiscal policy. Hedging is performed via an American put option and its pricing is carried out in terms of how much the representative consumer is willing to pay to keep that contract to hedge a fall in the risky asset price. The option price is determined in terms of the risk premium, which is characterized by the solution of a second-order, linear partial differential equation. Finally, an approximated formula for the American option price is obtained, and a sensitive analysis of such a price with respect to its parameters is carried out.

Palavras-chave : consumption y portfolio decisions; pricing contingent claims; fiscal policy; market risk; equilibrium models.

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