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Valoración de una opción de cobertura al riesgo climático de la producción de arroz a partir del método de Burn

Acceso Cerrado
ID Minciencias: ART-0000634484-69
Ranking: ART-ART_B

Abstract:

The following document describes the fundamental bases of the stochastic calculation applied to the valuation of options starting from a historical contextualization of the origins of the financial instruments, going through the mathematical formalization of the Brownian movements, Wiener's method and its relation with the Ito motto, as a source of estimation of the Black & Schole method and new applications through climate options against adverse risks of extreme or moderate weather conditions; for which finally a proposal of coverage for the production of rice in Colombia is presented, identifying through the Cobb-Douglas production model the variable of greater incidence for the estimation of an index from which the Strike of a Call and Put position and its respective valuation taking as reference the index of Extreme Heat Degrees (HDD) of the Mercantile Exchange of Chicago (CME) which defines the respective valuation premiums.

Tópico:

Business, Education, Mathematics Research

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Información de la Fuente:

FuenteAglala
Cuartil año de publicaciónNo disponible
Volumen11
Issue1
Páginas246 - 271
pISSNNo disponible
ISSN2215-7360

Enlaces e Identificadores:

Scienti ID0000634484-69Minciencias IDART-0000634484-69Openalex URLhttps://openalex.org/W3084271245
Artículo de revista