Revista de Análisis Económico (1999)https://repositorio.uahurtado.cl/handle/11242/14312020-09-25T03:48:04Z2020-09-25T03:48:04ZTeoría De Opciones: Una SíntesisFernández M., Vivianahttps://repositorio.uahurtado.cl/handle/11242/17402020-03-24T18:56:30Z1999-01-01T00:00:00ZTeoría De Opciones: Una Síntesis
Fernández M., Viviana
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.
1999-01-01T00:00:00ZEducación y Crecimiento Económico Provincial en ArgentinaMitnik, Oscar Albertohttps://repositorio.uahurtado.cl/handle/11242/17392020-03-24T18:56:31Z1999-01-01T00:00:00ZEducación y Crecimiento Económico Provincial en Argentina
Mitnik, Oscar Alberto
Investment in education is an essential element for the economic growth of a country. Theory supports this argument with models that stress the individual and social benefits of education. Although the empirical literature shows ample consensus regarding the existence of positive individual returns to education, its impact on economic growth is, nevertheless, not clear. This paper applies panel data techniques to measure the effects of education on long-run economic growth, to the case of regional growth in Argentina. There are two major problems when estimating growth regressions: 1) individual effects are correlated with explanatory variables, and 2) simultaneity biases. To avoid these problems, a generalized method of moments (GMM) estimator is used (Arellano and Bond, 1991; Caselli, Esquivel and Lefort, 1996).Two types of models were tested. Standard and human capital-augmented Solow models, and Barro specifications. The standard Solow model fit poorly in most cases. Likewise, the augmented Solow model presented wrong signs on most coefficients. However, education always showed a positive and significative impact on long-run growth. On the other hand, in a-la-Barro specifications always education present a positive and important impact on growth, using aggregate measures of education achievement levels, although using disaggregate measures of education the results were not so clear. It turns out that, depending on the empiric specification, secondary school and university education have an important effect on growth. Regarding convergence, the empirical evidence is mixed. Under certain specifications, GMM estimation finds strong evidence of convergence at a rather fast speed (around 5% per year), which is twice as fast as estimates using standard techniques for the US and Japan (Barro and Sala-i-Martin, 1995). However, when using more demanding specifications, the data does not support the conditional convergence hypothesis.
1999-01-01T00:00:00ZProductividad y Tipo de Cambio Real de Largo PlazoValdés, RodrigoDelano, Valentínhttps://repositorio.uahurtado.cl/handle/11242/17372020-03-24T18:56:27Z1999-01-01T00:00:00ZProductividad y Tipo de Cambio Real de Largo Plazo
Valdés, Rodrigo; Delano, Valentín
This paper analyzes the relationship between productivity growth differentials and real exchange rate (RER) in Chile using three alternative methods. First, it calibrates with Chilean data a simple RER model that includes Balassa-Samuelson effect. Second, it uses time series data to estimate cointegrating vectors between RER and its fundamentals, including productivity differentials. Third, using a panel of 92 countries and data form 1960 to 1990, it studies the international evidence about the relationship between productivity and RER. The three methods yield surprisingly similar results. Explicitly considering the way in which the RER is measured in Chile, the paper shows that that the annual appreciation due to productivity growth differential in Chile during the period 1990-1997 is between 0.7 and 0.9% per annum.
1999-01-01T00:00:00ZEstimando un Modelo de 2 Factores del Tipo Exponential-affine para la Tasa de Interés ChilenaZuñiga, Sergiohttps://repositorio.uahurtado.cl/handle/11242/17382020-03-24T18:56:32Z1999-01-01T00:00:00ZEstimando un Modelo de 2 Factores del Tipo Exponential-affine para la Tasa de Interés Chilena
Zuñiga, Sergio
In this article we estimate a two-factor model for the risk-free term structure yield in Chile. These factors are the short rate and the central tendency that are not directly estimable. Both factors follow an Ito stochastic process. In the solution of the model we follow the Balduzzi et al. (1996) specification, which provides an estimation procedure that do not depend on the parametric specification of the second factor and an "exponential affine" solution type that allows to estimate the model by mean of only one equation. The data used in this study is the average weekly yields of the bonds "Bonos de Reconocimiento" (BR) of the Chilean stock exchange during May 1993 and December 1997. The results show that when we use a stochastic level for the long term rates the yields adjust better than the case when this level is constant. Also, the speed of the reversion process increases due to the better performance of the short term rate. In addition, using an ARCH specification for the rate volatility we found additional evidence that the variance of the rates.
1999-01-01T00:00:00Z