<?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>S0186-10422021000200004</article-id>
<article-id pub-id-type="doi">10.22201/fca.24488410e.2021.2331</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[GARCH-type volatility in the multiplicative quadrinomial tree method: An application to real options]]></article-title>
<article-title xml:lang="es"><![CDATA[Volatilidad tipo GARCH en el método de árboles cuatrinomiales multiplicativos: una aplicación para opciones reales]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Pareja-Vasseur]]></surname>
<given-names><![CDATA[Julian A.]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Marin Sanchez]]></surname>
<given-names><![CDATA[Fredy H.]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Tuesta Reategui]]></surname>
<given-names><![CDATA[Vicente]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad EAFIT Department of Finance ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Colombia</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad EAFIT Department of Mathematical Sciences ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Colombia</country>
</aff>
<aff id="Af3">
<institution><![CDATA[,CENTRUM Católica of Perú  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Perú</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2021</year>
</pub-date>
<volume>66</volume>
<numero>2</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422021000200004&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422021000200004&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422021000200004&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This article applies the multiplicative quadrinomial tree numerical method with non-constant volatility to assess a real option of abandonment, based on an estimate of the conditional volatility for WTI oil commodity prices and their respective equivalence in a GARCH-diffusion model. The methodology refers to the use of an estimate of type GARCH (1,1) and the numerical method through a quadrinomial tree. There are two main findings: 1) when employing the quadrinomial method, the value of the real option turned out to be greater than the value estimated through the traditional multiplicative binomial method, due to underestimation of the real value of volatility that occurs in a specific period according to the latter method; and 2) a methodological contribution that demonstrates plainly way the presence of non-constant conditional volatility as well as being able to value all types of options using stochastic volatility.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Este artículo utiliza el método de árboles cuatrinomiales multiplicativos con volatilidad no constante para valorar una opción real de abandono, a partir de la estimación de la volatilidad condicional para la serie de precios del commoditie crudo tipo WTI y su respectiva equivalencia con un modelo de difusión GARCH. La metodología propuesta refiere el uso una estimación tipo GARCH (1,1) y el uso del método numérico por arboles cuatrinomiales. Los dos principales hallazgos son: 1) cuando se emplea el método cuatrinomial, el valor de la opción tiende a ser mayor que el estimado por el método tradicional de árboles binomiales multiplicativos, debido a una subestimación del valor real de la volatilidad para el ultimo método, para un periodo de tiempo específico; y 2) la contribución metodológica propuesta puede ser utilizada de una forma relativamente sencilla cuando existe presencia de volatilidad condicional no constante y permite la valoración de todo tipo de opciones utilizando volatilidad estocástica.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[C19]]></kwd>
<kwd lng="en"><![CDATA[C32]]></kwd>
<kwd lng="en"><![CDATA[C65]]></kwd>
<kwd lng="en"><![CDATA[G13]]></kwd>
<kwd lng="en"><![CDATA[G32]]></kwd>
<kwd lng="en"><![CDATA[GARCH]]></kwd>
<kwd lng="en"><![CDATA[Time series]]></kwd>
<kwd lng="en"><![CDATA[GARCH-diffusion model]]></kwd>
<kwd lng="en"><![CDATA[Quadrinomial trees]]></kwd>
<kwd lng="en"><![CDATA[Option pricing]]></kwd>
<kwd lng="es"><![CDATA[C19]]></kwd>
<kwd lng="es"><![CDATA[C32]]></kwd>
<kwd lng="es"><![CDATA[C65]]></kwd>
<kwd lng="es"><![CDATA[G13]]></kwd>
<kwd lng="es"><![CDATA[G32]]></kwd>
<kwd lng="es"><![CDATA[GARCH]]></kwd>
<kwd lng="es"><![CDATA[Series de tiempo]]></kwd>
<kwd lng="es"><![CDATA[Modelo de difusión GARCH]]></kwd>
<kwd lng="es"><![CDATA[Arboles cuatrinomiales]]></kwd>
<kwd lng="es"><![CDATA[Valoración de opciones]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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