Calibración - Monte Carlo ponderado
La mayoría de los modelos de valoración hacen hipótesis sobre el comportamiento de un activo y calibran sus parámetros a los precios de mercado. El modelo Monte Carlo ponderado es capaz de calibrar el mercado sin hacer hipótesis específicas sobre el comportamiento del activo. Cuando sólo se consideran productos vanilla, el comportamiento del activo puede permitir la posibilidad de arbitraje. Alberto Elices y Eduard Giménez demuestran este hecho e introducen una opción sintética para solucionar el problema
Considerar el efecto sonrisa al valorar derivados exóticos es una cuestión de gran interés para operadores de mercado y profesionales del sector. Ello se debe a que la repercusión de este efecto sobre el precio y la cobertura puede ser muy importante. Bajo la hipótesis de un mercado eficiente, la asimetría y la sonrisa en el mercado de opciones 'vanilla' pueden explicarse bien por el hecho de que la volatilidad no es constante o porque el proceso de precio del activo puede tener saltos.
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