SciELO - Scientific Electronic Library Online

vol.61 issue4The diversity of agents and evolution of overlapping patents on electric vehiclesValidation of the citizen consumer behavior in the area of private educational services in Mexico scale author indexsubject indexsearch form
Home Pagealphabetic serial listing  

Services on Demand




Related links

  • Have no similar articlesSimilars in SciELO


Contaduría y administración

Print version ISSN 0186-1042


ORTIZ RAMIREZ, Ambrosio  and  MARTINEZ PALACIOS, María Teresa V.. Pricing of average value options versus European options with stochastic interest rate. Contad. Adm [online]. 2016, vol.61, n.4, pp.629-648. ISSN 0186-1042.

This paper proposes a methodology to obtain the price of an Asian option with underlying average through Monte Carlo simulation. It is assumed that the interest rate is driven by a mean reversion process of Vasicek and CIR type with parameters calibrated by maximum likelihood. The simulation includes the quadratic resampling which reduces the use of computational resources, in particular the method improves the generation of variance covariance matrix. The proposed methodology is applied in the valuation of options on the price of AMXL. The results show that by comparing prices of European options, with both simulated and published by MexDer with their Asian counterparts, Asian options prices are lower in the case of call and put options in the money. For put options simulated prices were lower in all cases. Moreover, it was also found that the difference increases as the time to maturity of the option increases.

Keywords : Monte Carlo simulation; Geometric average; Mathematical modelling; Asian options.

        · abstract in Spanish     · text in Spanish     · Spanish ( pdf )