<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422016000200374</article-id>
<article-id pub-id-type="doi">10.1016/j.cya.2015.11.007</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Valuación de opciones arcoíris sobre canastas de activos bajo procesos de difusión con saltos]]></article-title>
<article-title xml:lang="en"><![CDATA[Pricing rainbow options on baskets of assets under mixed diffusion-jump processes]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Zambrano Reyes]]></surname>
<given-names><![CDATA[Adriana]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Venegas Martínez]]></surname>
<given-names><![CDATA[Francisco]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Autónoma del Estado de Hidalgo  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Instituto Politécnico Nacional  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2016</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2016</year>
</pub-date>
<volume>61</volume>
<numero>2</numero>
<fpage>374</fpage>
<lpage>390</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422016000200374&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422016000200374&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422016000200374&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen: En este trabajo se estudia la valuación de opciones sobre el máximo o el mínimo (precio o rendimiento) de 2 activos riesgosos, conocidas como opciones arcoíris. Se extiende la valuación de estos contratos al caso en que los activos presentan difusiones combinadas con saltos. Los parámetros de los procesos de saltos son estocásticos, y específicamente el tamaño del salto sigue una distribución normal, lo cual hace necesario recurrir a los procesos de Lévy. Se desarrolla una metodología numérica con MATLAB para valuar una opción cesta (o canasta) de venta, y un put sobre el máximo y en el mínimo de 2 activos riesgosos; los resultados se pueden extender para el caso de n activos.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract: This paper studies the pricing of options on the maximum or minimum (price or return) of two risky assets, known as rainbow options. It extends the valuation of these contracts to the case where assets are driven by diffusions combined with jumps. The parameters of the jump process are stochastic, specifically the jump size follows a Normal distribution, making it necessary to resort to Lévy processes. A numerical methodology is developed with MATLAB to provided the price of a basket sale option, and put on the maximum and the minimum of two risky assets; the results can be extended to the case of n assets.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Opciones arcoíris]]></kwd>
<kwd lng="es"><![CDATA[Ecuación parcial integro-diferencial]]></kwd>
<kwd lng="es"><![CDATA[Difusión con saltos]]></kwd>
<kwd lng="es"><![CDATA[Procesos de Lévy]]></kwd>
<kwd lng="en"><![CDATA[Rainbow options]]></kwd>
<kwd lng="en"><![CDATA[Partial integro-differential equation]]></kwd>
<kwd lng="en"><![CDATA[Mixed diffusion-jumps processs]]></kwd>
<kwd lng="en"><![CDATA[Lévy processes]]></kwd>
</kwd-group>
</article-meta>
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