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A methodology to value a Callable Bond

dc.creatorGrajales, Carlos Alexanderspa
dc.creatorOcaris Pérez, Fredyspa
dc.date.accessioned2017-06-15T21:49:35Z
dc.date.available2017-06-15T21:49:35Z
dc.date.created2008spa
dc.identifier.citationGrajales, C. A. & Ocaris Pérez, F. (2013). Una metodología para valorar un Callable Bond (A methodology to value a Callable Bond). Revista EIA, 5(10), 9-17.spa
dc.identifier.issn17941237spa
dc.identifier.urihttp://hdl.handle.net/11407/3295
dc.descriptionEn este artículo, la metodología empleada para valorar un bono que tiene una opción call incluida (callable bond o bono redimible) viene dada por la implementación numérica del modelo de tasa corta de Hull y White, la cual se logra con un árbol trinomial de tasas. Así mismo, se presenta una aplicación para el caso de la compañía Interconexión Eléctrica S. A. –ISA–, que ha emitido dos instrumentos callable bonds. Para el desarrollo de tal aplicación se construyen algunos algoritmos computacionales, los cuales pueden valorar los dos bonos con opción call que tiene dicha compañía y además permiten la estructuración de un bono con opción call incluida de tipo genérico.spa
dc.descriptionIn this paper the methodology employed for assessing a bond that includes a call option (callable bond) is given by the numeric implementation of Hull and White short rate model, which it is accomplished through an interest rates trinomial tree. It also presents an application for the case of the company Interconexión Eléctrica S. A. –ISA–, which has issued two callable bonds instruments. For the development of such application computer algorithms are implemented to value the two bonds of the company, and they also allow the structuring of a bond with a generic type call option included.spa
dc.language.isospaspa
dc.publisherEscuela de Ingeniería de Antioquiaspa
dc.relation.isversionofhttp://revistas.eia.edu.co/index.php/reveia/article/view/206spa
dc.rightsinfo:eu-repo/semantics/openAccessspa
dc.sourceRevista EIAspa
dc.subjectModelo de tasa corta de Hull y Whitespa
dc.subjectÁrbol trinomial de tasasspa
dc.subjectDerivado financierospa
dc.subjectCallable bondspa
dc.subjectHull and White short rate modelspa
dc.subjectRate trinomial treespa
dc.subjectFinancial derivativespa
dc.subjectCallable bondspa
dc.titleUna metodología para valorar un Callable Bondspa
dc.titleA methodology to value a Callable Bondspa
dc.typeinfo:eu-repo/semantics/articlespa
dc.typeArticlespa
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessspa
dc.publisher.programIngeniería Financieraspa
dc.identifier.doiDOI: https://doi.org/10.24050/reia.v5i10.206spa
dc.publisher.facultyFacultad de Ingenieríasspa
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dc.creator.affiliationGrajales, Carlos Alexander; Universidad de Medellínspa
dc.creator.affiliationOcaris Pérez, Fredy; Universidad de Medellínspa
dc.relation.ispartofesRevista EIA. Número 10, p. 9-17. Diciembre 2008spa


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