Los Modelos Implícitos de Valoración de Opciones

Abstract

Of the alternative approaches to the Black-Scholes options valuation model, the implied models have had the largest development in last years. In this approach there are different alternatives: implied trees, deterministic volatility function models and implied volatility function models. All of them are based on the estimation of the risk-neutral probability distribution of underlying asset future prices, that is congruent with the options market prices. Accordingly, implied models are found to provide an exact fit of reported structure of options prices. However, the pricing performance of implied models valuing out-of-sample options is not adequate, and its usefulness as predictive tool is not satisfactory. In this article we analyze to which extent the implied approach improve the option valuation theory, from both theoretical and practical point of view.