Opciones exóticas: conceptualización y evolución en la literatura a partir de una revisión sistemática
Resumen
El artículo desarrolla un análisis conceptual de la literatura sobre opciones exóticas a partir de dos objetivos específicos: i. describir los principales conceptos, características y tipos de opciones exóticas; y ii. analizar la evolución de las publicaciones en la temática. Metodológicamente, se efectúa una investigación documental de autores clásicos y una revisión sistemática de la literatura en las bases de datos académicas Scopus y Web of Science. Las 96 publicaciones obtenidas se someten a análisis bibliométricos y de contenido. Se identifican trabajos publicados mayoritariamente en revistas (72%) entre 2006 y 2015 (64%), en su mayoría sobre valuación de opciones exóticas. Las opciones dependientes de la trayectoria del precio del activo subyacente son las más utilizadas, en especial barrera, lookback y asiáticas. Como contribución teórica, el análisis de la evolución de la literatura representa un cimiento sustancial para futuros estudios pues permite individualizar las publicaciones más relevantes sobre opciones exóticas, detectar brechas en el campo del conocimiento y reconocer temas en auge. A nivel práctico, la mejor comprensión del tema podría derivar en una mayor utilización de instrumentos exóticos.
Descargas
Citas
Abe K.S. & Giles M. (2008). Pricing Exotic Options Using Strong Convergence Properties. In: Bonilla L.L., Moscoso M., Platero G., Vega J.M. (Eds) Progress in Industrial Mathematics at ECMI 2006. Alemania, Berlin, Heidelberg: Springer.
Abe, K. S. (2011). Pricing exotic options using MSL-MC. Quantitative Finance, 11(9), 1379-1392.
Agliardi, R. (2012). A comprehensive mathematical approach to exotic option pricing. Mathematical Methods in the Applied Sciences, 35(11), 1256-1268.
Albrecher, H., & Mayer, P. (2010). Semi-static hedging strategies for exotic options. In Alternative Investments and Strategies, 345-373.
American Psychological Association (2010). Publication Manual of the American Psychological Association (Sixth Edition). American Psychological Association.
An, Y., & Suo, W. (2009). An Empirical Comparison of Option‐Pricing Models in Hedging Exotic Options. Financial Management, 38(4), 889-914.
Avramidis, A.N. (2002). Importance sampling for multimodal functions and application to pricing exotic options. In Proceedings of the Winter Simulation Conference (Vol. 2, pp. 1493-1501). Estados Unidos, San Diego: IEEE.
Bardin, L. (2011). Análise de Conteúdo (L. Antero & A. Pinheiro, trads). Edições 70.
Basak, G. K., Ghosh, M. K., & Goswami, A. (2011). Risk minimizing option pricing for a class of exotic options in a Markov-modulated market. Stochastic Analysis and Applications, 29(2), 259-281.
Beaglehole, D.R., Dybvig, P.H., & Zhou, G. (1997). Going to extremes: Correcting simulation bias in exotic option valuation. Financial Analysts Journal, 53(1), 62-68.
Becker, M. (2010). Comment on ‘correcting for simulation bias in monte carlo methods to value exotic options in models driven by lévy processes’ by c. ribeiro and n. webber. Applied Mathematical Finance, 17(2), 133-146.
Bekiros, S., & Kouloumpou, D. (2019). On the pricing of exotic options: A new closed-form valuation approach. Chaos, Solitons & Fractals, 122, 153-162.
Bing, Y. (2007). Optimal Stopping Time and Pricing of Exotic Options. In 2007 Chinese Control Conference (pp. 456-459). IEEE.
Black, F & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81: 637-659.
Bormetti, G., Callegaro, G., Livieri, G., & Pallavicini, A. (2018). A backward Monte Carlo approach to exotic option pricing. European Journal of Applied Mathematics, 29(1), 146-187.
Bormetti, G., Montagna, G., Moreni, N., & Nicrosini, O. (2005). Path integrals and exotic options: methods and numerical results. In Beck, C.; Benedek G.; Rapisarda, A. & Tsallis, A. (Eds.) Complexity, Metastability And Nonextensivity (pp. 336-340). Erice, Sicily, Italy: World Scientific Publishing Co.
Bormetti, G., Montagna, G., Moreni, N., & Nicrosini, O. (2006). Pricing exotic options in a path integral approach. Quantitative Finance, 6(1), 55-66.
Boyle, P., & Draviam, T. (2007). Pricing exotic options under regime switching. Insurance: Mathematics and Economics, 40(2), 267-282.
Broszkiewicz, M., & Janicki, A. (2005). Exotic option prices simulated by Monte Carlo method on market driven by diffusion with Poisson jumps and stochastic volatility. In International Conference on Computational Science (pp. 1112-1115). Berlin, Alemania: Springer.
Buchen, P. (2012). An Introduction to exotic option pricing. CRC Press.
Carr, P., Ellis, K., & Gupta, V. (1998). Static hedging of exotic options. The Journal of Finance, 53(3), 1165-1190.
Chang, G., Kang, J., Kim, H. S., & Kim, I. J. (2007). An efficient approximation method for American exotic options. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 27(1), 29-59.
Chen, D. H., Chou, H. C., Wang, D., & Zaabar, R. (2011). The predictive performance of a path-dependent exotic-option credit risk model in the emerging market. Physica A: Statistical Mechanics and its Applications, 390(11), 1973-1981.
Chen, X., Deelstra, G., Dhaene, J., & Vanmaele, M. (2008). Static super-replicating strategies for a class of exotic options. Insurance: Mathematics and Economics, 42(3), 1067-1085.
Cheng K. (2009) Investing in Exotic Options. In: Krishnamurti C., Vishwanath R. (eds) Investment Management. Springer, Berlin, Heidelberg
CME Group (2020, 16 de diciembre). Energy average price options.
https://www.cmegroup.com/education/articles-and-reports/energy-average-priceoptions.html
Ching, W.K., Siu, T.K., & Li, L.M. (2007). Pricing exotic options under a high-order Markovian regime switching model. Advances in Decision Sciences, 2007.
Chung, S.L., Ko, K., Shackleton, M.B., & Yeh, C.Y. (2010). Efficient quadrature and node positioning for exotic option valuation. Journal of Futures Markets, 30(11), 1026-1057.
Cook, D.J., Mulrow, C.D., & Haynes, R.B. (1997). Systematic reviews: synthesis of best evidence for clinical decisions. Annals of internal medicine, 126(5), 376-380.
Cortés Guevara, A. (2019). Valuación de opciones exóticas con implementación en excel (VBA) [Tesis de licenciatura en Acturía, Benemérita Universidad Autónoma de Puebla]. https://repositorioinstitucional.buap.mx/handle/20.500.12371/45100
Cortina, E., & Sánchez, I. (2013). Hedging late frost risk in viticulture with exotic options. Agricultural Finance Review, 73(1), 136-160.
Crespo Espert, J. (1998). Opciones exóticas; tipología, valoración y cobertura. Cuadernos de derecho y comercio, (27), 301-338. https://dialnet.unirioja.es/servlet/articulo?codigo=201818
Crespo Espert, J. (2001). Utilización práctica de las opciones exóticas: Opciones asiáticas y opciones barrera. Boletín Económico de Información Comercial Española, (2686), 1001-1008.
Daniliuk, E. (2015). Propabilistic Analysis for European Exotic Option on Stock Market Index Research. In Proceedings 14th International Conference on Information Technologies and Mathematical Modelling (pp. 304-313). Rusia: Springer.
De Luigi, C., Lelong, J., & Maire, S. (2016). Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options. Applied Numerical Mathematics, 100, 14-30.
Detlefsen, K., & Härdle, W.K. (2007). Calibration risk for exotic options. The Journal of Derivatives, 14(4), 47-63.
Dziawgo, E. (2017). Possibilities of Exotic Options Application in the Pro-ecological Investments Efficiency Assessment. En M. H. Bilgin, H. Danis & U. Can (eds.), Empirical Studies on Economics of Innovation, Public Economics and Management (103-113). Springer.
Ewald, C., & Yor, M. (2015). On Increasing Risk, Inequality and Poverty Measures: Peacocks, Lyrebirds and Exotic Options. Journal of Economic Dynamics and Control, 59, 22-36. https://doi.org/10.1016/j.jedc.2015.07.004
Fabry, P., & Thomas, D. (2017). Efficient Reconfigurable Architecture for Pricing Exotic Options. ACM Transactions on Reconfigurable Technology and Systems (TRETS), 10(4), Article 29: 1-22.
Feng, Y., Huang, B.H., Young, M., & Zhou, Q.Y. (2015). Decomposing and valuing convertible bonds: A new method based on exotic options. Economic Modelling, 47, 193-206.
Fernández, P. & Ariño, M.A. (1996). Derivados exóticos. Documento de investigación 308. Centro Internacional de Investigación Financiera (CIIF) y División de Investigación IESE, Universidad de Navarra.
Ferreira, S., Cardoso, R., & de Mendonça Neto, O. (2013). Processo de tomada de decisão e seus desdobramentos na pesquisa contábil
internacional. Revista Contemporânea de Contabilidade, 10(19), 141-156. https://doi.org/10.5007/2175- 8069.2013v10n19p141
Ferreira, M., Storopoli, J., & Serra, F. (2014). Two Decades of Research on Strategic Alliances: Analysis of Citations, Co-Citations and Themes Researched. Revista de Administração Contemporânea, 18(SPE), 109-133. https://doi.org/10.1590/1982- 7849rac20142022
Fusai, G., Germano, G., & Marazzina, D. (2016). Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. European Journal of Operational Research, 251(1), 124-134.
García Fronti, J., & Romina Sánchez, J. (2015). Hedge for Automotive SMEs Using An Exotic Option. En J. Gil Aluja, A. Terceno Gomez, J. Ferrer Comalat, J. Merigo Lindahl, & S. Linares Mustaros (Ed.), Scientific Methods for the Treatment of Uncertainty in Social Science. Colección: Advances in Intelligent Systems and Computing. 377, págs. 373-381. Girona: Springer
García Machado, J.J.; Sancha Dionisio, M.P.; Tejero Rioja, C. & Toscano Pardo, D. (2000). Opciones “exóticas”. Boletín Económico de ICE N° 2673, 1-8.
Gianin, E.R., Sgarra, C. (2013). "Exotic Options". En Quarteroni, A., Ambrosio, L., Biscari, P., Ciliberto, C., De Lellis, C., Panaretos, V. y Runggaldier, W. (Eds.), La Matematica per il 3 piu 2 (pp. 173-199). Italia, Milano: Springer.
Gobet, E. (2009). Advanced Monte Carlo methods for barrier and related exotic options. En Handbook of Numerical Analysis (Vol. 15, pp. 497-528). Elsevier.
Goldenberg, D. H. (2010). Managing VC investments in competing technologies using exotic options and secondary markets. The Journal of Private Equity, 13(4), 86-103.
Gordiaková, Z., & Younis, A.M. (2013). Proposal of a new guaranteed certificate using exotic options. Journal of Applied Economic Sciences, 8(2), 191-197.
Guillaume, F., & Schoutens, W. (2015). Bid-Ask Spread for Exotic Options under Conic Finance. En K. Glau, M. Scherer, & R. Zagst (Ed.), Innovations in Quantitative Risk Management Colección: Springer Proceedings in Mathematics & Statistics. 99, págs. 59-74. Munich: Springer
Guo, X., & Shepp, L. (2001). Some optimal stopping problems with nontrivial boundaries for pricing exotic options. Journal of Applied Probability, 38(3), 647-658.
Hieber, P. (2018). Pricing exotic options in a regime switching economy: a Fourier transform method. Review of Derivatives Researh, 21(2), 231-252
Hoyt, R. & McCullough, K. (1999). Catastrophe Insurance Options: Are They Zero-Beta Assets? Journal of Insurance Issues 22, 2, pp. 147–163.
Hull, J. (2002). Introducción a los mercados de futuros y opciones (4° Edición). Editorial Prentice-Hall. Madrid, España.
Ilhan, A., Jonsson, M., & Sircar, R. (2004). Singular perturbations for boundary value problems arising from exotic options. Siam Journal on Applied Mathematics, 64(4), 1268-1293
Ilhan, A., Jonsson, M., & Sircar, R. (2009). Optimal static-dynamic hedges for exotic options under convex risk measures. Stochastic Processes and their Applications, 119(10), 3608-3632.
Imai, J., & Tan, K. S. (2009). Dimension Reduction Approach To Simulating Exotic Options In A Meixner Levy Market. International Journal of Applied Mathematics, 39(4).
Janissek-Muniz, R., Borges, N.M., & Bortoli, L. (2009). Gestão dos sinais fracos no contexto brasileiro: estado da arte. En Congresso IFBAE, Gramado, Rio Grande do Sul, Brasil.
Junike, G., Arratia, A., Cabana, A., & Schoutens, W. (2019). American and exotic options in a market with frictions. European Journal of Finance, 1-21.
Kadalbajoo, M. K., Kumar, A., & Tripathi, L. P. (2013). Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option. Computers & Mathematics with Applications, 66(4), 500-511.
Kamat, R., & Oren, S. (2002). Exotic options for interruptible electricity supply contracts. Operation Research, 50(5), 835-850
Kananthai, A., & Dumrongpokaphan, T. (2015). On the spectrum of the option price related to the barrier of the exotic option from the Black-Scholes equation. International Journal of Applied Mathematics & Statistics , 53(6), 38-45.
Kanniainen, J., Halme, T. (2013). Calibrated GARCH models and exotic options. Applied Financial Economics, 23 (5), pp. 403-414.
Khaliq, A., Voss, D., & Yousuf, M. (2007). Pricing exotic options with L-stable Pade schemes. Journal of Banking & Finance, 31(11), 3438-3461
Kirkby, J., & Deng, S. (2019). Static hedging and pricing of exotic options with payoff frames. Mathematical Finance, 29(2), 612-658.
Kirkby, J. (2018). American and exotic option pricing with jump diffusions and other Levy processes. Journal of Computational Finance, 22(3), 89-148.
Kolb, R. (2003). Futures, Options, and Swaps. Blackwell Publishing.
Kolb, R. W. (2011). Exotic Options. en R. Kolb & Overdahl, J. Financial Derivatives: Pricing and Risk Management. JohnWiley & Sons. New Jersey, United States.
Kuhn, C., & Kyprianou, A. (2007). Callable puts as composite exotic options. Mathematical Finance, 17(4), 487-502.
Kumar, S., Chada, G., Thulasiram, R., & Thulasiram, P. (2009). Ant Colony Optimization to Price Exotic Options. IEEE Congress on Evolutionary Computation. 1-5, págs. 2366-2373. Trondheim: IEEE.
Labuschagne, C., & Offwood, T. (2013). Pricing exotic options using the Wang transform. North American Journal of Economics and Finance, 25, 139-150
Lasserre, J., Prieto-Rumeau, T., & Zervos, M. (2006). Pricing a class of exotic options via moments and SDP relaxations. Mathematical Finance, 16(3), 469-494
Li, S. J., & Li, S. H. (2006). A generalization of exotic options pricing formulae. Journal of Zhejiang University-SCIENCE A, 7(4), 584-590.
Li, J., Kim, M., & Kwon, R. (2012). A moment approach to bounding exotic options under regime switching. Optimization, 61(10), 1253-1269
Lin, X. (1998). Double barrier hitting time distributions with applications to exotic options. Insurance Mathematics & Economics , 23(1), 45-58.
Lipton, A., Gal, A., & Lasis, A. (2014). Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results. Quantitative Finance, 14(11), 1899-1922.
Liu, G., & Wenbo, L. (2009). Semiparametric bounds of mean and variance for exotic options. Science in China Series A-Mathematics, 52(7), págs. 1446-1458. Zhejiang
Lo, C., Chung, T., & Hui, C. (2007). Double barrier hitting time distribution of a mean-reverting lognormal process and its application to pricing exotic options. Lecture Notes in Engineering. 1-2. London: Int. Assoc. Engineers
Lozza, S., & Staino, A. (2011). Exotic options with Lévy processes: the Markovian approach. Investment Management and Financial Innovations, 8 (1), pp. 140-156.
Lu, Y.-H. (2010). Exotic option-based rural land-use right pricing model. In 2010 2nd IEEE International Conference on Information Management and Engineering (pp. 5-9). IEEE.
Manterola, C., Astudillo, P., Arias, E. & Claros, N. (2013). Revisiones sistemáticas de la literatura. Qué se debe saber acerca de ellas. Cirugía Española, 91(3), 149-155.
Mascareñas, J. (2013). Opciones exóticas [Documento de trabajo 45, Universidad Complutense de Madrid].
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2372613
Maya, C. (2009). Monte Carlo Option Princing. Lecturas De Economía, 61(61), 53-70.
Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4: 141-183
Milev, M., Giorgieva, S., & Markovska, V. (2013). Valuation of Exotic Options in the Framework of Levy Processes. En V. Pasheva, & G. Venkov (Ed.), AIP Conference Proceedings. 1570, págs. 65-73. Sozopol: Amer Inst Physics.
Ndogmo, J. (2013). Some control variates for exotic options. Journal of Physics Conference Series. 410, pág. 012111. Budapest: IOP Publishing LTD
Nishiba, M. (2013). Pricing exotic options and American options: a multidimensional asymptotic expansion approach. Asia-Pacific Financial Markets, 20(2), 147-182.
Peng, B. (2012). Pricing of Some Exotic Options under Jump Diffusion and Stochastic Interest Rates Model. In Applied Mechanics and Materials (Vol. 109, pp. 405-409). Trans Tech Publications.
Pindza, E., Patidar, K. C., & Ngounda, E. (2013). Implicit-explicit predictor-corrector methods combined with improved spectral methods for pricing European style vanilla and exotic options. Electronic Transactions on Numerical Analysis, 40, 268-293.
Prabakaran, S. (2016). Construction of Risk-neutral Measure in a Brownian Motion with Exotic Option. Far East Journal of Mathematical Sciences, 100(10), 1643.
Rasmus, S., Asmussen, S., & Wiktorsson, M. (2004, June). Pricing of some exotic options with NIG-Lévy input. In International Conference on Computational Science (pp. 795-802). Springer, Berlin, Heidelberg.
Ribeiro, C., & Webber, N. (2006). Correcting for simulation bias in Monte Carlo methods to value exotic options in models driven by Lévy processes. Applied Mathematical Finance, 13(4), 333-352.
Ripio-Sánchez, J., & Carranza-González, T. (2009). Modelado de opciones exóticas a través de opciones simples [Tesis de maestría, Instituto Tecnológico y de Estudios Superiores de Monterrey].
Ross, S.M., & Shanthikumar, J.G. (2000). Pricing Exotic Options. Probability in the Engineering and Informational Sciences, 14(3), 317-326.
Santos, G. (2012). Aproximaciones a un análisis bibliométrico de la Revista
Internacional Legis de Contabilidad & Auditoría 2000-2012. Revista Internacional Legis de Contabilidad & Auditoría, 15(49), 183-226.
https://doi.org/10.1016/j.rcsar.2016.10.001
Schmock, U., Shreve, S.E., & Wystup, U. (2002). Valuation of exotic options under shortselling constraints. Finance and Stochastics, 6(2), 143-172.
Schoutens, W., & Symens, S. (2003). The pricing of exotic options by Monte–Carlo simulations in a Lévy market with stochastic volatility. International Journal of Theoretical and Applied Finance, 6(08), 839-864.
Schoutens, W. (2006). Exotic options under Lévy models: An overview. Journal of Computational and Applied Mathematics, 189(1-2), 526-538.
Sönmezer, S. (2017). Option Strategies and Exotic Options: Tools for Hedging or Source of Financial Instability? In Contributions to Management Science (pp. 245-257). Springer, Cham.
Swart, B., & Venter, A. (2008). Analysing some exotic options: EDS, instalments shares. Investment Analysts Journal, 37(67), 49-56.
Tang, J., & Yau, S. T. (2006). Exotic option, stochastic volatility and incentive scheme. WIT Transactions on Modelling and Simulation, 43.
Tichý, T., Kopa, M., & Vitali, S. (2012). Some results on pricing of selected exotic options via subordinated Lévy models. Managing and Modelling of Financial Risks, 610-617.
Tirupattur, V., Hauser, R. J., & Boyle, P. P. (1997). Theory and measurement of exotic options in US agricultural support programs. American Journal of Agricultural Economics, 79(4), 1127-1139.
Tompkins, R. G. (2002). Static versus dynamic hedging of exotic options: an evaluation of hedge performance via simulation. The Journal of Risk Finance, 3(4), 6-34.
Topper, J. (2000). Finite element modeling of exotic options. In Operations Research Proceedings 1999 (pp. 336-341). Springer, Berlin, Heidelberg.
Veiga, C., Wystup, U., & Esquível, M.L. (2012). Unifying exotic option closed formulas. Review of Derivatives Research, 15(2), 99-128.
Walsh, D.M. (1999). Some exotic options under symmetric and asymmetric conditional volatility of returns. Journal of Multinational Financial Management, 9(3-4), 403-417.
Xu, Y., Lai, Y., & Xi, X. (2011, April). Efficient simulations for exotic options under NIG model. In 2011 Fourth International Joint Conference on Computational Sciences and Optimization (pp. 1286-1290). IEEE.
Yan, L. (2017). Pricing formula for exotic options with assets exposed to counterparty risk. Discrete Dynamics in Nature and Society, 2017.
Yen, J., & Lai, K.K. (2014). Emerging Financial Derivatives: Understanding exotic options and structured products. Routledge.
Yip, W.Y., Stephens, D., & Olhede, S. (2010). Hedging strategies and minimal variance portfolios for European and exotic options in a Lévy market. Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics, 20(4), 617-646.
Zhang, P.G. (1995). An introduction to exotic options. European Financial Management, 1(1), 87-95.
Zhang, L., Lai, Y., Zhang, S., & Li, L. (2019). Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models. The North American Journal of Economics and Finance, 47, 602-621.
Zhang, X., Wang, X., & Wang, X. (2005, November). Exotic options bundled with interruptible electricity contracts. In 2005 International Power Engineering Conference (pp. 1-115). IEEE.
Zhou, Z., & Ma, J. (2016). Lattice Boltzmann methods for solving partial differential equations of exotic option pricing. Frontiers of Mathematics in China, 11(1), 237-254.
Derechos de autor 2021 Gabriela Pesce, Florencia Verónica Pedroni, Etelvina Chávez, María de la Paz Moral, María Andrea Rivero
Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial-CompartirIgual 4.0.
Este sitio web, por Universidad de Antioquia, está licenciado bajo una Creative Commons Attribution License.
Los autores que publiquen en esta revista aceptan que conservan los derechos de autor y ceden a la revista el derecho de la primera publicación, con el trabajo registrado con una Licencia de Atribución-NoComercial-CompartirIgual de Creative Commons, que permite a terceros utilizar lo publicado siempre que mencionen su autoría y a la publicación original en esta revista.
Los autores pueden realizar acuerdos contractuales independientes y adicionales para la distribución no exclusiva de la versión del trabajo publicada en la revista (por ejemplo, incluirla en un repositorio institucional o publicarla en un libro) siempre que sea con fines no comerciales y se reconozca de manera clara y explícita que el artículo ha sido originalmente publicado en esta revista.
Se permite y recomienda a los autores publicar sus artículos en Internet (por ejemplo, en páginas institucionales o personales), ya que puede conducir a intercambios provechosos y a una mayor difusión y citación de los trabajos publicados.
