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Article citations


Elizondo, R. (2009) Incorporación de Factores Macroeconómicos en los Modelos de Valuación de Productos Derivados. Thesis de Doctorado en Ciencias, IIMAS, UNAM, Mexico City.

has been cited by the following article:

  • TITLE: Pricing American Options Using Transition Probabilities: A Dynamical Systems Approach

    AUTHORS: Rocio Elizondo, Pablo Padilla, Mogens Bladt

    KEYWORDS: American Options, Fokker-Planck, Black-Scholes, Samuelson, Probability Density Function

    JOURNAL NAME: Open Journal of Statistics, Vol.5 No.6, October 20, 2015

    ABSTRACT: We give a new way to price American options by using Samuelson’s formula. We first obtain the option price corresponding to a European option at time t, weighing it by the probability that the underlying asset takes the value S at time t. We then use Samuelson’s formula with this factor which is given by the solution of the Fokker-Planck (Kolmogorov) equation for the transition probability density. The main advantage of this approach is that we can systematically introduce the effect of macroeconomic factors. If a macroeconomic framework is given by a dynamical system in the form of a set of ordinary differential equations we only have to solve a partial differential equation for the transition probability density. In this context, we verify, for the sake of consistency, that this formula coincides with the Black-Scholes model and compare several numerical implementations.