Valuación de opciones con ajustes a distribuciones α-estables y contabilidad bajo la norma internacional de información financiera

Abstract

This paper pretends to analyze the returns of exchange rate parities such as the US dollar, euro, sterling and yen, with the Mexican peso, descriptive statistics and alpha-stable parameters are estimated, goodness tests of adjustment statistically justify the suitability of alpha-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 alpha-stable model, and the accounting is presented under international financial reporting standard, concluding that the alpha-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 aliging the risk management objectives to reflects the risk management activities and transmitting the goal and effect of the options.