Teoría de opciones: una síntesis

• Autores: Viviana Fernández
• Localización: Revista de análisis económico, ISSN-e 0718-8870, ISSN 0716-5927, Vol. 14, Nº 2, 1999, págs. 87-116
• Idioma: español
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• Resumen

  • Option pricing dates back to the turn of the century with Bachelier's doctoral dissertation on speculation theory. In 1964 Bonness developed a formula for option pricing similar in nature to that of Black-Scholes's but that relied upon an unknown interest rate. It was not until 9 years later that Black and Scholes came up with a formula to price European options, which would revolutionize financial theory. Unlike most theoretical breakthroughs, Black-Scholes's formula became increasingly popular among practitioners, and nowadays it is widely used in the main exchanges around the world.

    In recent years Hull, White and Rubinstein, among many others, have worked on pricing the so-called exotic options. Meanwhile Trigeorgis, Brennan, Schwartz and others have illustrated how option theory can be used in assessing the profitability of investment opportunities(real options. Option theory has been also applied to the pricing of many other financial instruments, such as warrants, callable bonds, and callable-convertibles bonds.

    The aim of this paper is to discuss the progress that option theory has made since Black and Scholes developed their seminal formula. We will review the most outstanding models, mention some numerical methods used in option pricing when no analytical solution exist, and discuss the importance of real options as a new technique for assessing investment opportunities.