Resumo

CLIMENT HERNANDEZ, José Antonio  e  GOMEZ PINTO, Itzel. Options pricing with α-stable distributions fits andaccounting under international financial reporting standard. Contad. Adm [online]. 2021, vol.66, n.2, 00009.  Epub 11-Out-2021. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2021.2491.

This paper pretends to analyze the returns of US dollar, euro, sterling and yen, with the Mexican peso, descriptive statistics and α-stable parameters are estimated, goodness of fit tests statistically justify the suitability of α-stable distributions to model the returns of currencies, the self-similarity exponents and memory indices are also estimated, the European call and put option’s pricing is done with the Gaussian model and with the α-stable model, and the accounting is presented under international financial reporting standard, concluding that the α-stable model quantify more adequately the exchange rate risk than the Gaussian model, recommending an analysis to minimize the potential losses arising from the economic obligations acquired for issuing options and that international financial reporting standard is aligning the risk management objectives to reflects the risk management activities and transmitting the goal and effect of the options.

Palavras-chave : C16; C46; C14; D81; G12; G13; Stochastic processes α-stables; Finance engineering; International financial reporting standard.

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