Abstract

VENEGAS-MARTINEZ, Francisco. Un modelo estocástico de equilibrio general para valuar derivados y bonos. EconoQuantum [online]. 2009, vol.6, n.1, pp.111-120. ISSN 2007-9869.

This paper is aimed at developing a general equilibrium model in an economy populated by identical agents. These agents are rational and make decisions on portfolio and consumption. Under the assumptions that exists a share whose price is driven by a geometric Brownian motion and the technology is guided by a stationary Markovian process with mean reversion, the prices of a derivative on a share and a zero coupon bond are obtained in the equilibrium.

Keywords : Equilibrio general; Consumidor racional; Derivados; Bonos cupón cero.

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