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EconoQuantum
versión On-line ISSN 2007-9869versión impresa ISSN 1870-6622
Resumen
VENEGAS MARTINEZ, Francisco y CRUZ AKE, Salvador. Productos derivados sobre bienes de consumo. EconoQuantum [online]. 2010, vol.6, n.2, pp.25-54. ISSN 2007-9869.
This paper develops a continuous-time general equilibrium model with rational expectations useful for the determination of prices of forward and future contracts, zero coupon bonds and European (calls and puts) options on consumption goods. To reach this end, the model considers a representative individual in an economy with two goods, which are produced by using stochastic technologies. Finally, the proposed model allows considering strategies aimed in obtaining speculative gains by using different derivative products.
Palabras llave : General equilibrium; stochastic optimal control; pricing derivatives on commodities.