<?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>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462017000400389</article-id>
<article-id pub-id-type="doi">10.21919/remef.v12i4.240</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Valuación de opciones asiáticas con precio de ejercicio flotante igual a la media aritmética: un enfoque de control óptimo estocástico]]></article-title>
<article-title xml:lang="en"><![CDATA[Pricing Asian Options with Floating Exercise Price Equal to the Arithmetic Mean: An Optimal Stochastic Control Approach]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Martínez-Palacios]]></surname>
<given-names><![CDATA[María Teresa Verónica]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Ortiz-Ramírez]]></surname>
<given-names><![CDATA[Ambrosio]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Martínez-Sánchez]]></surname>
<given-names><![CDATA[José Francisco]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Instituto Politécnico Nacional Escuela Superior de Economía ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad Autónoma Del Estado de Hidalgo Escuela Superior de Apan ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2017</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2017</year>
</pub-date>
<volume>12</volume>
<numero>4</numero>
<fpage>389</fpage>
<lpage>404</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462017000400389&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462017000400389&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462017000400389&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen: En esta investigación se caracteriza la prima de una opción de venta asiática de tipo europeo con precio de ejercicio flotante igual a la media aritmética, mediante el análisis de solución a un problema de control óptimo estocástico en tiempo continuo, que modela el proceso de toma de decisiones de consumo-inversión de un consumidor racional en un horizonte finito de planeación con fecha final estocástica. La prima obtenida es una ecuación diferencial parcial de segundo orden que corresponde a la ecuación de Black-Scholes-Merton, con la diferencia de que esta se establece con fundamentos de racionalidad económica. Asimismo, se resuelve analíticamente la ecuación diferencial parcial de Hamilton-Jacobi-Bellman que optimiza el problema de control ´optimo estocástico planteado.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract: This research characterizes the premium of a European-type +Asian put option with floating exercise price equal to the arithmetic mean, through the solution analysis to a stochastic optimal control problem in continuous time, that models the decision-making process of consumption-investment of a rational consumer in a finite horizon of planning with stochastic terminal date. The premium obtained is a partial differential equation of second order corresponding to the Black-Scholes-Merton equation, with the difference that this is established with fundamentals of economic rationality. Also, the Hamilton-Jacobi-Bellman partial differential equation is solved, which optimizes the stochastic optimal control problem.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Control óptimo estocástico en tiempo continuo]]></kwd>
<kwd lng="es"><![CDATA[Decisiones de consumo y portafolio]]></kwd>
<kwd lng="es"><![CDATA[Opciones asiáticas]]></kwd>
<kwd lng="es"><![CDATA[modelos de equilibrio]]></kwd>
<kwd lng="en"><![CDATA[Optimal Stochastic Control,Problem]]></kwd>
<kwd lng="en"><![CDATA[Consumption and Portfolio Decisions]]></kwd>
<kwd lng="en"><![CDATA[Asian Options]]></kwd>
<kwd lng="en"><![CDATA[Equilibrium Models]]></kwd>
</kwd-group>
</article-meta>
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