Derivados

Mercado de Derivados
Financieros: Futuros y
Opciones
Juan Mascareas
Universidad Complutense de Madrid
Primera versin: enero 1991 - ltima versin: diciembre 2012
- Introduccin a los futuros financieros, 1

- La cmara de compensacin (clearing house), 5
- Algunas caractersticas de los contratos de futuros, 9
- La paridad entre el precio del futuro y el de contado, 16
- Introduccin a las opciones financieras, 17
- Descripcin de las opciones, 19
- Opciones de compra (call options), 23
- Opciones de venta (put options), 29
- Factores que determinan el valor de una opcin, 34
- El mtodo binomial de valoracin de opciones, 39
- El modelo de Black & Scholes, 46
- La cobertura de riesgo con opciones, 48
- Bibliografa, 51
- Enlaces de inters, 51
- Anexos, 52
Monografas de Juan Mascareas sobre Finanzas Corporativas

ISSN: 1988-1878
42. Mercado de Derivados Financieros: Futuros y Opciones
Un activo derivado es un activo financiero o real cuyo precio depende se derivadel precio de otro activo al que se denomina subyacente.
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ISSN: 1988-1878
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ISSN: 1988-1878
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ISSN: 1988-1878
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ISSN: 1988-1878
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ISSN: 1988-1878
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10

ISSN: 1988-1878
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11

ISSN: 1988-1878
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12

ISSN: 1988-1878
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13

ISSN: 1988-1878
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14

ISSN: 1988-1878
U&%9!n9!:C-1)7&6'!/(!1$!,*$#!/(1!7-'.+$.-!/(!E).)+-,!,-3+(!(1!"3([5el!('.+(!(1!Wl!/(!#$+4-!/(!Wnne!G!1$!E(7F$!/(!
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15

ISSN: 1988-1878
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.&*-,!/(!&'.(+O,LP!G!/S!(,!(1!*+(7&-!$7.)$1!/(1!$7.&C-!,)3G$7('.(9!>$+.&('/-!/(!1$!3$,(!/(!2)(!
1-,!/&C&/('/-,!,-'!3$,.$'.(!*+(/(7&31(,!,-3+(!.-/-!*$+$!*(+8-/-,!7-+.-,<!*-/+(#-,!7-'71)&+!
2)(!7)$12)&(+!&'7(+.&/)#3+(!(,!*(2)(0$!('!7-#*$+$7&6'!7-'!1$!/(!1-,!*+(7&-,!/(!1$,!$77&-5
'(,!,)3G$7('.(,<!7-'!1-!2)(!(1!#-/(1-!$'.(+&-+!+(E1(D$!,)E&7&('.(#('.(!3&('!1$!+($1&/$/9!M,8!
2)(!/(,*(D$'/-!(1!*+(7&-!/(1!E).)+-!G!,),.&.)G('/-!(1!C$1-+!/(!T!*-+!Q;![!/<!/-'/(!O,.$!_1.&5
#$!C$+&$31(!&'/&7$!(1!!#-("+"#-.&'$&,!#'#0'("5"(#-(&!/(1!$7.&C-!,)3G$7('.(<!-3.('/+(#-,N!
!
F0 = S0 x (1 + rf) - D = S0 x (1 + rf - d)
!
M!(,.$!+(1$7&6'!,(!1$!7-'-7(!7-#-!1$!/*!"(*('#-.!#'0&$'/!#)"&$'(#')&-.*(&'D'(#'23.3!&<!2)(!
*+-*-+7&-'$!1$!7-++(7.$!+(1$7&6'!.(6+&7$!('.+(!$#3-,!*+(7&-,9!Q&!1$!*$+&/$/!'-!E)(,(!+(,*(.$5
/$!/$+8$!1)%$+!$!)'$,!-*-+.)'&/$/(,!/(!$+3&.+$D(!2)(!*+-/)7&+8$'!)'!3('(E&7&-!,&'!+&(,%-!2)(!
'-!+(2)(+&+8$!'&'%)'$!&'C(+,&6'!&'&7&$19!B$!(,.+$.(%&$!/(!$+3&.+$D(!,(!*)(/(!+(*+(,('.$+!#@,!
%('(+$1#('.(!/(!1$!,&%)&('.(!E-+#$N!
!
Accin
1. Pedir prestado S0
2. Comprar activo por S0
3. Vender futuros por F0
TOTAL
Flujo de caja inicial
Flujo de caja en 1 ao
S0
- S0
0
0
-S0 x (1 + rf)
S1 + D
F0 - S1
F0 - S0 x (1 + rf) + D
!
B$!+(1$7&6'!/(!*$+&/$/!.$#3&O'!,(!7-'-7(!7-#-!1$!!#0*)"8-'(#0')&$.#'(#'+*-.#-"+"#-.&<!*-+5
2)(!$E&+#$!2)(!(1!*+(7&-!/(1!7-'.+$.-!/(!E).)+-,!C&('(!/(.(+#&'$/-!*-+!(1!7-,.(!+(1$.&C-!/(!
$/2)&+&+!)'!$7.&C-!7-'!('.+(%$!/&E(+&/$!('!(1!#(+7$/-!/(!E).)+-,!pC(+,),p!1$!$/2)&,&7&6'!/(1!
#&,#-!('!(1!#(+7$/-!/(!7-'.$/-!7-'!('.+(%$!&'#(/&$.$!G!,)!#$'.('&#&('.-!('!(1!&'C('.$5
+&-!F$,.$!(1!E&'$1!/(1!*(+8-/-9!>-+!-.+-!1$/-<!1$!+(1$7&6'!/(!*$+&/$/!*)(/(!%('(+$1&4$+,(!*$+$!.!
*(+8-/-,N!
16

ISSN: 1988-1878
F0 = S0 x (1 + rf - d)t
!
!
!
T # ! $%&'()*++$,%!-!.-/!( D+$(%1/!0$%-%+$1'-/ ! !
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&/."&-$L! )'! $7.&C-! /(.(+#&'$/-! $! )'! *+(7&-! E&D-! ('! $1%_'! #-#('.-! ('! (1! E).)+-9! M,8<! *-+!
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/(!X(1(E6'&7$!'-,!*+-*-+7&-'$+8$!(1!/(+(7F-!$!$/2)&+&+1$!$!)'!*+(7&-!E&D-!/(!We!()+-,!/)+$'.(!
)'!*1$4-!#@[&#-!/(!\;!/8$,9!!
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7$!('!2)(!$2)O11$,!'-!+(*+(,('.$'!)'!/(+(7F-!,-3+(!(1!$7.&C-!/(1!(#&,-+9!:,!/(7&+<!)'!$77&-5
'&,.$!-+/&'$+&-!.&('(!/(+(7F-!,-3+(!)'$!*$+.(!/(!1-,!3('(E&7&-,!E).)+-,!G!/(!1-,!$7.&C-,!/(!1$!
7-#*$08$<!#&('.+$,!2)(!(1!*-,((/-+!/(!)'$!&/)"8-'(#')&+/!*!K)*00L!,61-!.&('(!(1!/(+(7F-!$!
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(/-+! /(! )'$! -*7&6'! '-! .&('(! +(1$7&6'! $1%)'$! 7-'! 1$! (#*+(,$! ,-3+(! 7)G-,! .8.)1-,! *-,((! )'!
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(&!'(#'0*'&/)"8-!KE!".#!<!-!(#&,-+L<!2)(!7-'7&(+'(!$!1$!*-,&31(!$/2)&,&7&6'!-!C('.$!('!(1!E).)5
+-!/(!1-,!.8.)1-,!$!)'!*+(7&-!*+(/(.(+#&'$/-9!]&!(1!(#&,-+!/(!1$!-*7&6'<!'&!(1!*-,&31(!7-#*+$5
/-+!/(!1$!#&,#$<!.&('('!(E(7.-!$1%)'-!,-3+(!1$!7-#*$08$!-!,-3+(!,),!*-,&3&1&/$/(,!/(!(#&.&+!
$77&-'(,n9!
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1$!-*(+$7&6'!/(!7-#*+$!-!C('.$!,(!(D(+4$9!T&7F-!/(!-.+$!#$'(+$<!1$!%+$'!#$G-+8$!/(!1$,!*(+5
,-'$,!2)(!-*(+$'!('!-*7&-'(,!'-!(,.@'!&'.(+(,$/$,!('!(1!$7.&C-!,)3G$7('.(!,&'-!('!%$'$+!
/&'(+-!KG$!,($!*$+$!%$'$+1-!('!,8!#&,#-!-!*$+$!7)3+&+,(!/(!*O+/&/$,!('!(1!$7.&C-!,)3G$7('5
.(L9!T(!(,.$!#$'(+$!,(!*-/+@'!(#&.&+!#)7F$,!#@,!-*7&-'(,!/(!1$,!2)(!+($1#('.(!,(+@'!(D(+5
7&/$,9! :'! -.+$,! *$1$3+$,<! 1$,! $77&-'(,! ,)3G$7('.(,! +$+$#('.(! ,(+@'! 7-#*+$/$,! -! C('/&/$,!
*-+!(1!*-,((/-+!/(!1$!-*7&6'<!*-+!(11-!(1!'_#(+-!/(!$77&-'(,!,-3+(!1$,!2)(!,(!*)(/('!(D(+5
7(+!1$,!-*7&-'(,!*)(/(!([7(/(+!$1!'_#(+-!/(!$77&-'(,!+($1#('.(!(#&.&/$,9!Q&!.-/$,!1$,!-*5
7&-'(,!,(!(D(+7&(,('!*-/+8$!-7)++&+!2)(!'-!F)3&(,(!,)E&7&('.(,!$77&-'(,!*$+$!(11-!*(+-<!/(5
3&/-!$!2)(!,61-!(,!(D(+7&/$!)'$!*(2)(0$!E+$77&6'!/(!1$,!-*7&-'(,<!(1!C-1)#('!/(!1$,!$77&-'(,!
2)(!*-/+8$'!,(+!$/2)&+&/$,!$!.+$CO,!/(!1$,!-*7&-'(,!([&,.('.(,<!*)(/(!,(+!#@,!$1.-!2)(!(1!C-5
1)#('!/(!1$,!$77&-'(,!,)3G$7('.(,!+($1#('.(!(#&.&/$,9!
!
:,.-!'-!(,!7&(+.-!,&!(,!1$!*+-*&$!(#*+(,$!1$!2)(!(#&.(!-*7&-'(,!/(!7-#*+$!/(!$77&-'(,!*$+$!,),!/&+(7.&C-,!-!(#*1($/-,!
K$.&)?'&/."&-$L!G!E*!!*-.$!*-+2)(<!(C&/('.(#('.(<!/(3(+@!.('(+!*+(C&,.$!)'$!(#&,&6'!/(!$77&-'(,<!-!$77&-'(,!('!7$+.(+$<!
*$+$!(1!7$,-!/(!2)(!1-,!/)(0-,!/(!1$,!-*7&-'(,!/(,(('!(D(+7(+1$,9
17

ISSN: 1988-1878
B$,!-*7&-'(,!*)(/('!11(%$+!$!'-!.('(+!'&'%_'!C$1-+!,&!(1!*+(7&-!/(!1$,!$77&-'(,!,(!F$!#-C&/-!
('!/&+(77&6'!7-'.+$+&$!$!1$,!([*(7.$.&C$,!/(1!$/2)&+('.(!('!1$!E(7F$!('!1$!2)(!([*&+$!1$!-*5
7&6'9!:,.$!(,!-.+$!/&E(+('7&$!('!+(1$7&6'!7-'!1$,!$77&-'(,!-+/&'$+&$,<!*-+2)(!O,.$,<!('!.(-+8$<!
,61-! .('/+@'! )'! C$1-+! ')1-! 7)$'/-! 1$,! /()/$,! ,)*(+('! $! 1-,! $7.&C-,! /(! 1$! 7-#*$08$W;9! :'!
7-'.+$,.(<!)'$!-*7&6'!/(!7-#*+$!-!C('.$!*)(/(!.('(+!)'!C$1-+!')1-!7)$12)&(+$!2)(!,($!(1!
%+$/-!/(!,-1C('7&$!/(!1$!7-#*$08$!*+-*&(.$+&$!/(1!.8.)1-!,)3G$7('.(!K*+(7&,$#('.(!('!(,.-!
+$/&7$!,)!#$G-+!+&(,%-L9!
!
H-#-!('!.-/-!#(+7$/-!E&'$'7&(+-!-+%$'&4$/-<!(1!(#&,-+!KC('/(/-+L!/(!1$!-*7&6'!G!(1!7-#5
*+$/-+!/(!1$!#&,#$!'-!,(!7-'-7('<!$7.)$'/-!7-#-!&'.(+#(/&$+&-,!1$!CA+*!*'(#'C&+/#-$*4
)"8-!KC0#*!"-%'>&3$#L<!1-,!&'.(+#(/&$+&-,!-!,!&?#!$!G!1-,!)!#*(&!#$'(#'+#!)*(&'F+*!?#.'+*4
?#!$GHH9!
Inversor
Intermediario
Cmara de
compensacin
Intermediario
Inversor
U&%9!W;!:1!*$*(1!/(!1$!H@#$+$!/(!7-#*(',$7&6'!!
!
C6342:<8!:6!<M49<@68!
B$,!-*7&-'(,!,-'!7-'-7&/$,!/(,/(!$'.(,!/(!H+&,.-<!*-,&31(#('.(!'-!7-'!(,(!'-#3+(<!*(+-!
('!1$!$'.&%)$!y+(7&$!,(!+($1&4$3$'!-*(+$7&-'(,!7-#(+7&$1(,WV!2)(!F-G!('!/8$!,(!+($1&4$+8$'!('!
#(+7$/-,!/(!E).)+-,!G!-*7&-'(,9!B$,!*+&#(+$,!-*7&-'(,!/(!.&*-!E&'$'7&(+-!G$!,(!'(%-7&$3$'!
('!B-'/+(,!('!(1!,&%1-!zj""P!G<!*$+$!'-!&+'-,!.$'!1(D-,<!$!*+&'7&*&-,!/(1!,&%1-!zz!,(!'(%-7&$3$'!
F$3&.)$1#('.(!-*7&-'(,!('!1-,!#(+7$/-,!/(!C$1-+(,!/(!B-'/+(,!G!>$+8,9!Q&!(#3$+%-<!,(!7-'5
,&/(+$!2)(!(1!#(+7$/-!#-/(+'-!/(!-*7&-'(,!E&'$'7&(+$,!,)+%(!('!HF&7$%-!(1!V\!/(!$3+&1!/(!
W9noe!s!C>")*%&'I&*!('J/."&-$'<=)>*-%#'CIJ<!KZZZ973-(97-#L5!2)(!('!*+&'7&*&-!,61-!$/5
#&.8$!-*7&-'(,!/(!7-#*+$!K)*00L9!:1!O[&.-!/(!(,.(!#(+7$/-!,(!/(3&6!$!)'$!,(+&(!/(!7$+$7.(+8,5
.&7$,!2)(!/(E&'('!$!1-,!#-/(+'-,!#(+7$/-,!/(!*+-/)7.-,!/(+&C$/-,N!
!
$L!B$!'-+#$1&4$7&6'!/(!1-,!*+(7&-,!G!/(!1$,!E(7F$,!/(!C('7&#&('.-9!B-,!*+&#(+-,!/(38$'!
.(+#&'$+!('!;<!V<l!6!l!/61$+(,<!#&('.+$,!1$,!,(%)'/$,!,(!$%+)*$3$'!('!.+(,!,(+&(,!
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+(7.-!('.+(!(1!(#&,-+!G!(1!7-#*+$/-+<!*)(,.-!2)(!('.+(!$#3-,!/(3(+@!([&,.&+!-31&5
%$.-+&$#('.(!)'!&'.(+#(/&$+&-9!
10
B$!C(+/$/!(,!2)(!1$,!$77&-'(,!,61-!C$1/+@'!7(+-!()+-,!7)$'/-!1$,!/()/$,!,)*(+('!(1!C$1-+!/(1!$7.&C-!G!1$!7-#*$08$!F$G$!
2)(3+$/-9!Q&<!(,.-!_1.&#-<!$_'!'-!,(!F$!*+-/)7&/-!1$,!$77&-'(,!$_'!.('/+@'!)'!*+(7&-!/(!#(+7$/-<!*(2)(0-<!*(+-!*-,&.&C-!
K+(7)(+/(<!(1!*+(7&-!/(!#(+7$/-!/(!1$,!$77&-'(,!')'7$!*)(/(!,(+!'(%$.&C-!/(3&/-!$!2)(!*+-*-+7&-'$'!)'$!+(,*-',$3&1&/$/!
1&#&.$/$!$!,)!*+-*&(.$+&-LP!,)!C$1-+!7-'.$31(<!,8!*)(/(!,(+!')1-!(<!&'71),-<!'(%$.&C-9
11
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*+$/-+!/(!1$,!-*7&-'(,!7)$'/-!'-!F$G!7-#*+$/-+(,!-!/(!C('/(/-+!/(!$2)O11$,!7)$'/-!'-!F$G!C('/(/-+(,9
12
:,!#)G!7-'-7&/$!1$!F&,.-+&$!/(!X$1(,!/(!f&1(.-!G!,)!-*(+$7&6'!/(!$12)&1(+!/(!1$,!*+(',$,!/(!$7(&.)'$,!*$+$!*+-/)7&+!$7(&.(!
('!(1!,&%1-!j"!MH!+(1$.$/$!*-+!M+&,.6.(1(,!('!(1!1&3+-!"!/(!,)!K&07.")*9
18

ISSN: 1988-1878
7L!S'$!,),.$'7&$1!+(/)77&6'!/(!1-,!7-,.(,!/(!1$,!.+$',$77&-'(,!E$C-+(7&/$!*-+!1$!(E&7$4!
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:,*$0$!([&,.(!)'!#(+7$/-!/(!-*7&-'(,!E&'$'7&(+$,!/(,/(!W9n=n<!(1!f:UU!Kf(+7$/-!:,*$0-1!
/(!U).)+-,!U&'$'7&(+-,!ZZZ9#(EE97-#L<!2)(!,(!('7)('.+$!&'#(+,-!('!`f:!K`-1,$,!G!f(+7$5
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2#)>*'(#'#=/"!*)"8-'&'5#-)"+"#-.&!K#=/"!*."&-'(*.#L!G!(1!*+(7&-!$1!2)(!,(!*)(/(!(D(+7(+!(,!(1!
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>-+!-.+$!*$+.(<!)'$!&/)"8-'(#'5#-.*!K/3.L!,-3+(!)'!/(.(+#&'$/-!.8.)1-!7-'7(/(!$!,)!*-,((5
/-+!(1!/(+(7F-!$!C('/(+1-!$!)'!*+(7&-!/(!(D(+7&7&-!E&D-<!G$!,($!('!)'$!E(7F$!E).)+$!*+(/(.(+5
#&'$/$!-!$'.(,!/(!1$!#&,#$9!
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13
F..*,NRR%1-3$1/(+&C$.&C(,9'G[97-#R'G,(51&EE(
:1!,!&?#!!K('!:,*$0$N!M%('7&$!/(!j$1-+(,!G!`-1,$L!(,!)'!&'.(+#(/&$+&-!E&'$'7&(+-!2)(!-*(+$!,61-!*-+!7)('.$!$D('$<!#&('5
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14
19

ISSN: 1988-1878
U&%9!WV!T(+(7F-,!G!-31&%$7&-'(,!/(1!(#&,-+!G!/(1!7-#*+$/-+!/(!1$,!-*7&-'(,!/(!7-#*+$!
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$1!/(,7)3&(+.-!K)*00'-*?#('&/."&-L!,-3+(!(11$,P!1$!%$'$'7&$!'(.$!,(+@!(1!*+-*&-!*+(7&-!/(!1$!-*5
7&6'<!*)(,.-!2)(!'&!,&2)&(+$!F$!F(7F-!E$1.$!2)(!(1!C('/(/-+!/(!1$!-*7&6'!/(!7-#*+$!$/2)&5
+&(,(!1$,!$77&-'(,9!MF-+$!3&('<!,&!(1!*+(7&-!$)#('.$,(!G!1$!-*7&6'!E)(+$!(D(+7&/$<!(1!C('/(/-+!
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20

ISSN: 1988-1878
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15
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21

ISSN: 1988-1878
H)$'/-!(1!*+(7&-!/(!#(+7$/-!/(1!$7.&C-!,)3G$7('.(!(,!,)*(+&-+!$1!*+(7&-!/(!(D(+7&7&-!/(!1$!
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Precio de mercado del activo subyacente: 13,1!
10
11
ITM
12
13
14
Precios de ejercicio
ATM
15
OTM
16
U&%9!Wk!B-,!7-'7(*.-,!/(!"-4.>#4+&-#D<!*.4.>#4+&-#D!G!&3.4&24.>#4+&-#D!('!1$!(#&,&6'!/(!-*7&-'(,!/(!7-#*+$!
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22

ISSN: 1988-1878
>(+-!7$/$!#(+7$/-!/(!-*7&-'(,!.&('(!)'!,&,.(#$!3$,$/-!('!)'!$1%-+&.#-!2)(!7$17)1$!1$,!%$5
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23

ISSN: 1988-1878
B-,!7-#('.$+&-,!*-,.(+&-+(,!,(!3$,$'!,-3+(!(1!,&%)&('.(!(D(#*1-N!pQ)*-'%$#-,!2)(!(1!*+(5
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!
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Precio de la accin (S): 27 !
Precio de ejercicio de la opcin de compra [X]: 27 !.
Prima [c]: 1,3 !
Vencimiento del contrato: Diciembre
!
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!
Precio de compra
27,0 !
Prima
1,3 !
Coste total
28,3 !
Ingreso total 32,0 !
Beneficio de la operacin:
3,7 !
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Precio de compra
27,0 !
Prima
1,3 !
Coste total
28,3 !
Beneficio de la operacin:
-0,3 !
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24

ISSN: 1988-1878
!
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25

ISSN: 1988-1878
7L!:1!*-+7('.$D(!/(!%$'$'7&$<!-!*O+/&/$<!/$/-!*-+!(1!+('/&#&('.-!/(1!*(+8-/-!(,!#$G-+!
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26

ISSN: 1988-1878
!
M,8!2)(!(1!(#&,-+!/(!)'$!-*7&6'!/(!7-#*+$!KE!".#!L!'-!*)(/(!/(.(+#&'$+!,&!1$!#&,#$!,(+@!
(D(+7&/$!-!'-9!M,)#(!)'!*$*(1!*$,&C-!('!(,*(+$!/(!1$!/(7&,&6'!/(1!7-#*+$/-+!/(!1$!#&,#$9!
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-.+$! *$+.(<! /(3(+@! (,.$+! *+(*$+$/-! *$+$! ('.+(%$+! 1$,! $77&-'(,! 2)(! 1(! ,($'! ,-1&7&.$/$,! *-+!
*$+.(!/(1!*-,((/-+!/(!1$,!-*7&-'(,!('!(1!7$,-!/(!2)(!O,.(!_1.&#-!/(,((!(D(+7(+!,)!/(+(7F-9!
j($#-,!$!.+$CO,!/(1!#&,#-!(D(#*1-!/(1!(*8%+$E(!$'.(+&-+!(1!7$,-!/(!1$!(#&,&6'!/(!)'$!-*5
7&6'!/(!7-#*+$!$1!/(,7)3&(+.-<!('!1$!E(7F$!/(!C('7&#&('.-!/(!1$!#&,#$9!
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-[!Q&!(1!*+(7&-!/(!1$!$77&6'!(,!Q!h!eV!i!
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!
Precio de venta
27,0 !
Prima
1,3 !
Ingreso total
28,3 !
Precio de mercado de la accin
32,0 !
Resultado de la operacin:
-3,7 !
!
M,8!2)(!,&!(1!C('/(/-+!'-!*-,((!1$!$77&6'!*(+/(+@!e<o!()+-,9!q3,O+C(,(<!2)(!,&!1$!*-,(G(,(!G!
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\[!Q&!(1!*+(7&-!/(!1$!$77&6'!(,!Q!h!V=!i!
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!
Precio de venta
27,0 !
Prima
1,3 !
Ingreso total
28,3 !
28,0 !
0,3 !
!
Q&!(1!(#&,-+!'-!*-,((!1$!$77&6'!/(3(+@!7-#*+$+1$!$!V=!()+-,!G!C('/(+1$!$!Vo!i<!*(+-!7-#-!('!
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!
27

ISSN: 1988-1878
+[!Q&!(1!*+(7&-!/(!1$!$77&6'!(,!Q!h!Vl!i!
:1!7-#*+$/-+!'-!(D(+7(+@!1$!-*7&6'!G!1$!*+&#$!,(+@!.-.$1#('.(!/(1!(#&,-+<!2)(!F$3+8$!%$'$5
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1-,!,&%)&('.(,!+(,)1.$/-,N!
!!!!!!
Precio inicial de la accin
27,0 !
25,0 !
Prdida 2,0 !
Ingreso por la venta de la opcin. ...
1,3 !
Resultado - 0,7 !
!
M,8!2)(!,&!(1!C('/(/-+!/(!1$!-*7&6'!/(,($!C('/(+!,),!$77&-'(,!('!(1!#(+7$/-<!('!7-'D)'.-!
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!
28

ISSN: 1988-1878
b(,)#&('/-<!('!(,.$!*-,&7&6'!1$!*+&#$!2)(!+(7&3(!(1!(#&,-+!$)#('.$!1$!+('.$3&1&/$/!/(!,)!
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!
!
b(,)#&('/-N!
Precio del activo [S]: 27 !
Precio de ejercicio de la opcin de venta [X]: 27 !
Prima [p]: 1,1 !
Vencimiento del contrato: Diciembre
!
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!
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/(!1$!#&,#$N!W<W!i!
!
Precio de venta de la accin (X)
27,0 !
Precio pagado por la opcin
- 1,1 !
Precio de coste de la accin 26,0 !
29

ISSN: 1988-1878
- 0,1 !
!
+[!Q&!(1!*+(7&-!/(!1$!$77&6'!(,!Q!h!V;!i!
:1!*-,((/-+!/(!1$!-*7&6'!/(!C('.$!1$!(D(+7(+@<!*)(,.-!2)(!,&'-!*(+/(+@!1$!.-.$1&/$/!/(1!7-,.(!
/(!1$!#&,#$N!W<W!i!
!
Precio de venta de la accin (X)
27,0 !
Precio pagado por la opcin
- 1,1 !
Precio de coste de la accin 20,0 !
5,9 !
!
!
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,(+@!'().+$!-!1&%(+$#('.(!$17&,.$!G!1$!(#&,&6'!/(!(,.(!.&*-!/(!-*7&6'!1$!-E+(7(!1$!-*-+.)'&5
/$/!/(!-3.('(+!)'!&'%+(,-!('!E-+#$!/(!*+&#$9!
!
30

ISSN: 1988-1878
:1!C('/(/-+!-!(#&,-+!/(!)'$!-*7&6'!/(!C('.$!/(3(+@!$/2)&+&+!1$!$77&6'!,)3G$7('.(!$1!*+(7&-!
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2)(!.&('(!/(+(7F-9!>-+!&'7)++&+!('!(,.(!+&(,%-!+(7&3&+@!)'$!*+&#$!K(1!*+(7&-!/(!1$!-*7&6'!/(!
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(#&,-+!/(!O,.$!F$3+@!%$'$/-!1$!*+&#$!/(!W<W!i9!
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(#&,-+N!
Precio de compra de la accin (X) 27,0 !
Precio cobrado por la opcin
- 1,1 !
Gasto total 25,9 !
26,0 !
0,1 !
!
+[!Q&!(1!*+(7&-!/(!1$!$77&6'!(,!Q!h!V;!i!
:1!7-#*+$/-+!/(!1$!-*7&6'!/(!C('.$!1$!(D(+7(+@<!*-+!1-!2)(!('.+(%$+@!$1!C('/(/-+!/(!1$!#&,5
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(#&,-+N!
!
Precio de compra de la accin (X) 27 !
Precio cobrado por la opcin
- 1,1 !
Gasto total 25,9 !
Precio de mercado de la accin 20,0 !
-5,9 !
!
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!
31

ISSN: 1988-1878
:'!1$!E&%)+$!Wn!,(!#)(,.+$!1$!%+@E&7$!/(!1$,!%$'$'7&$,!-!*O+/&/$,!/(!)'$!-*7&6'!/(!C('.$!('!
,)!E(7F$!/(!C('7&#&('.-9!B$!#@[&#$!%$'$'7&$!*$+$!(1!C('/(/-+!/(!1$!-*7&6'!/(!C('.$!C('5
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32

ISSN: 1988-1878
,)#$!/(!1$!7-#*+$!/(!)'$!-*7&6'!/(!7-#*+$!K%+@E&7-!,)*(+&-+L!G!1$!C('.$!/(!)'$!-*7&6'!/(!
C('.$!K%+@E&7-!&'E(+&-+L!/$!(1!C$1-+!/(!)'!7-'.+$.-!/(!E).)+-,!-!/(!)'-!$!*1$4-9!
!
Los inversores europeos se forran con los warrants
Cotizalia 7/08/2012
Estn encantados con el desplome de Facebook, no desean bajo ningn concepto la
salida del fundador Marck Zuckerberg del puesto de primer ejecutivo y ni les suena
la expresin de nuevo cuo zucked, con la que se denomina a la legin de damnificados por el desastre burstil de la red social. Son los osos17 europeos de Facebook,
que gracias a sus apuestas bajistas contra la accin la red a travs de put warrants han conseguido rentabilidades de hasta el 500%.
Casi tres meses despus del debut, la foto fija de Facebook refleja unos nmeros rojos brutales para los miles de inversores que compraron acciones en la oferta pblica de venta. Paradjicamente, el desplome del 42% de la cotizacin se ha
convertido en una oportunidad de ganar dinero para quienes remaron contra el mercado y compraron productos estructurados para beneficiarse de un desplome de la
cotizacin. Muchos de ellos son inversores europeos. Se da la circunstancia de que la
OPV fue vendida casi ntegramente en Estados Unidos y que en pases como Espaa
fue imposible comprar ttulos. Un gran favor, visto lo visto.
En algunos casos, los inversores han obtenido retornos de hasta el 500% con
los put warrants emitidos en el Viejo Continente por BNP Paribas, Commerzbank y
UBS. Estos bancos ofrecieron warrants que permitan apostar por las cadas de
Facebook hasta los 12 dlares y con subidas hasta los 150 dlares. Nueve de los diez
ttulos ms negociados hoy son puts.
Los warrants son productos cotizados en bolsa, que a cambio del pago de una
prima muy inferior al precio burstil otorgan a su propietario el derecho terico,
pero no la obligacin, de comprar a un precio determinado un activo a travs de un
warrant call o de venderlo a mediante un warrant put en un fecha determinada.
Son productos de alto riesgo porque su caracterstica ms destacada es el
apalancamiento. Permiten posicionarse en un activo con una inversin mucho ms
pequea ampliando las variaciones del activo subyacente en su precio.
Los inversores que no hicieron odos sordos a los analistas que denunciaban que
el precio de Facebook est inflado y apostaron porque el precio alcanzara los 22
dlares, pagaron 0,07 dlares por este producto una semana despus de que la red
social empezara a cotizar a 38 dlares por accin. Hoy, con Facebook cotizando a
21,92 dlares, el warrant cuesta 0,45 dlares.
Facebook, que nunca ha cotizado por encima por encima del precio de salida a
bolsa, ha permitido a los osos hacer un negocio redondo. Mxime despus de la presentacin de los primeros resultados de Facebook como empresa cotizada el pasado
26 de julio, que resultaron un fiasco que provoc un desplome del 21% sin solucin
de continuidad.
!
17
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/('-#&'$!I.-+-,J9
33

ISSN: 1988-1878
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&'E(+&-+!$1!*+(7&-!/(!(D(+7&7&-!/(!1$!-*7&6'!K$.!"?#'/!")#L!5!7$,-!&3.'&2'.>#'+&-#D!5<!(1!#('-+!
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/(!(D(+7&7&-!/(!1$!-*7&6'<!z!K"-'.>#'+&-#DL<!(1!18#&.(!&'E(+&-+!/(!/&7F-!C$1-+!C('/+@!/$/-!*-+!
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34

ISSN: 1988-1878
*$%$+!*-+!1$!-*7&6'9!:,.$!(,!1$!+$46'!/(!2)(!$1!(#&.&+!)'$!-*7&6'!"-'.>#'+&-#D!'-!&'.(+(,(!
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7-#*+$!K)*00L!G!/(,7&('/(!,&!(,!/(!C('.$!K/3.L9!
!
X
CALLS
PUTS
Enero
Febrero
Marzo
Enero
Febrero
Marzo
9.800
210
423
557
97
260
353
9.850
182
397
532
118
283
376
9.900
159
372
507
148
307
400
9.950
134
348
484
179
333
425
10.000
113
326
461
202
359
451
10.050
93
304
438
230
387
478
10.100
77
283
417
266
416
506
10.150
64
264
396
303
446
534
10.200
50
245
376
340
477
563
10.250
42
228
357
379
510
594
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,)3G$7('.(! s,)! C-1$.&1&/$/5! &'E1)G(! /&+(7.$#('.(! ('! (1! .$#$0-! /(1! C$1-+! /(! 1$! -*7&6'! /(!
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35

ISSN: 1988-1878
#('.(!(,!1$!/&,*(+,&6'!sC$+&$'4$!-!/(,C&$7&6'!.8*&7$5!/(1!+('/&#&('.-!/(1!$7.&C-!,)3G$7('.(<!
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36

ISSN: 1988-1878
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37

ISSN: 1988-1878
/(!/-'/(!/(,*(D$'/-!(1!C$1-+!/(!1$!-*7&6'!/(!7-#*+$<!-3.('/+(#-,!)'$!([*+(,&6'!2)(!'-,!
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38

ISSN: 1988-1878
f&('.+$,!2)(!*$+$!1$!-*7&6'!/(!C('.$!1$,!+(1$7&-'(,!,(+8$'N!
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39

ISSN: 1988-1878
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+$7&6'!K.$#3&O'!7-'-7&/$!7-#-!)*!.#!*'!6/0")*<!*-+2)(!+(*1&7$!1-,!E1)D-,!/(!7$D$!/(1!$7.&C-!$!
C$1-+$+L!,(!C$!$!7-#*-'(+!/(!!$77&-'(,!/(1!Q$'.$'/(+!G!/(!)'!*+O,.$#-!2)(!F(#-,!7-'5
.+$8/-!*-+!`!i!$!)'!.&*-!/(!&'.(+O,!,&'!+&(,%-!K+EL!s!'-!.&('(!+&(,%-!*-+2)(!('!.-/-!#-#('.-!
F$3+@!/&'(+-!*$+$!/(C-1C(+!(1!*+O,.$#-!7-#-!C(+(#-,!(',(%)&/$59!>-+!.$'.-<!/('.+-!/(!)'!
*(+8-/-!$')$1<!1-,!E1)D-,!/(!7$D$!/(!/&7F$!7$+.(+$!*)(/('!.-#$+!1-,!/-,!C$1-+(,!,&%)&('.(,N!
!
Si Su = 12,05 ! 12,05 H - (1 + rf) B = 4,05 !
Si Sd = 5,31 ! 5,31 H - (1 + rf) B = 0 !
!
(,!/(7&+<!('!(1!7$,-!/(!2)(!1$!$77&6'!$17$'7(!1-,!WV<;l!i!(1!C$1-+!/(!1$!7$+.(+$!,(+@!/(!!$75
7&-'(,!$!WV<;l!i!7$/$!)'$!KWV<;l!L!#('-,!1$!/(C-1)7&6'!/(1!*+O,.$#-!7-'!,),!&'.(+(,(,!K`!!
`!+EL!.-/-!1-!7)$1!(,!&%)$1!$!k<;l!i9!T(!E-+#$!,(#(D$'.(!,(!([*1&7$!1$!,(%)'/$!(7)$7&6'9!b(,5
.$'/-!$#3$,!(7)$7&-'(,!-3.('/+(#-,!(1!'_#(+-!KL!/(!$77&-'(,!/(1!Q$'.$'/(+!2)(!,(!/(5
3('!7-#*+$+!*$+$!7-',.&.)&+!1$!7$+.(+$N!
!
6,74 H = 4,05 H = 4,05/6,74 = 0,6009 acciones
!
Q&!(1!.&*-!/(!&'.(+O,!,&'!+&(,%-!+E!(,!&%)$1!$1!ea!$')$1!*-/(#-,!([.+$(+!(1!C$1-+!/(!`!('!7)$15
2)&(+$! /(! 1$,! /-,! (7)$7&-'(,! $'.(+&-+(,N! e<;n=! i9! q3,O+C(,(! 2)(! ,&(#*+(! F$G! /&'(+-! *$+$!
*$%$+!(1!*+O,.$#-!#@,!,),!&'.(+(,(,!K,&!(1!C$1-+!/(!1$!$77&6'!E)(,(!&'E(+&-+!$!l<eW!i!(1!C$1-+!
40

ISSN: 1988-1878
/(!`!.$#3&O'!,(+8$VW!&'E(+&-+!$!e<;n=!i!/(!.$1!#$'(+$!2)(!,&(#*+(!F$3+8$!/&'(+-!*$+$!*$%$+!
(1!,(+C&7&-!/(!1$!/()/$L9!B)(%-!(1!C$1-+!/(!1$!-*7&6'!/(!7-#*+$<!4<!('!1$!$7.)$1&/$/<!,(+@!&%)$1!
$1!C$1-+!$7.)$1!/(!1$!7$+.(+$!E-+#$/$!*-+!!$77&-'(,!#@,!)'$!/()/$!/(!`!()+-,<!(,!/(7&+N!
!
c = S H B = 8 x 0,6009 3,098 = 1,7092 !
!
M'.(,!/(!7-'.&')$+<!-3,(+C(!2)(!1$!7-#3&'$7&6'!E-+#$/$!*-+!!$77&-'(,!/(1!Q$'.$'/(+!G!1$!
C('.$!/(!)'$!_'&7$!-*7&6'!/(!7-#*+$!*+-*-+7&-'$!(1!#&,#-!+(,)1.$/-!/('.+-!/(!)'!$0-!,($!
7)$1!,($!(1!C$1-+!E).)+-!/(!1$!$77&6'!/(1!3$'7-N!
!
Si Su = 12,05 ! 12,05 x 0,6009 4,05 = 3,191 !
Si Sd = 5,31 ! 5,31 x 0,6009 0 = 3,191 !
!
(,!/(7&+<!'-!F$G!+&(,%-<!-.+-!#-.&C-!#@,!*$+$!).&1&4$+!(1!.&*-!/(!&'.(+O,!,&'!+&(,%-!K+EL9!U8D(,(!
2)(!,&!/(,7)('.$!$1!ea!/(!&'.(+O,!e<WnW!-3.&('(!)'!C$1-+!/(!e<;n=!i!2)(!(,!(1!C$1-+!/(1!*+&'5
7&*$1!/(!1$!/()/$9!
!
1;!=<:6;<!K6@632;!
Q&!$F-+$!2)(+(#-,!-3.('(+!(1!C$1-+!/(!1$!-*7&6'!/(!7-#*+$!#(/&$'.(!)'$!([*+(,&6'!#$.(5
#@.&7$!%('(+$1<!1-!*+&#(+-!2)(!F$+(#-,!,(+@!+(*+-/)7&+!(1!C$1-+!&'.+8',(7-!/(!1$!-*7&6'!/(!
7-#*+$!/('.+-!/(!)'!*(+8-/-!(!&%)$1$+1-!$!1-,!E1)D-,!/(!7$D$!/(!1$!)*!.#!*'!6/0")*N!
!
cu = Su H - (1 + rf) B
cd = Sd H - (1 + rf) B
!
/-'/(!Q!(,!(1!*+(7&-!$7.)$1!/(!1$!$77&6'!,)3G$7('.(!K1$!/(1!Q$'.$'/(+!('!')(,.+-!(D(#*1-L<!
Q)!,(+@!(1!*+(7&-!/(!1$!$77&6'!/('.+-!/(!)'!*(+8-/-!,&!(,!$17&,.$<!*)(,!,&!E)(,(!3$D&,.$!,(!1(!
/('-#&'$+8$!Q/!K/-'/(!?!G!:!,-'!1-,!7-(E&7&('.(,!*-+!1-,!2)(!F$G!2)(!#)1.&*1&7$+!Q!*$+$!-35
.('(+!(1!*+(7&-!/(!1$!$77&6'!$1!E&'$1!/(1!*(+8-/-P!?!a!6 !G!:!a!6 !a!"f?!s('!')(,.+-!(D(#*1-VV!)!
h!(;<kW!h!W<l;\e!G!/!h!WR)!h!;<\\k5L9!>-+!-.+$!*$+.(<!(1!*+(7&-!/(!1$!-*7&6'!/(!7-#*+$!('!1$!$75
.)$1&/$/!,(+8$!4<!,&('/-!7)!G!7/<!+(,*(7.&C$#('.(<!*$+$!1-,!7$,-,!('!2)(!(1!*+(7&-!/(!1$!$77&6'!
F$G$!$,7('/&/-!-!F$G$!3$D$/-9!Q&!$F-+$!+(,.$#-,!)'$!(7)$7&6'!/(!1$!-.+$!G!/(,*(D$#-,!(1!
C$1-+!/(!<!-3.('/+(#-,!(1!C$1-+!/(1!/('-#&'$/-!!*."&'(#')&,#!.3!*N!
!
!
H =
"!
cu - cd
!
S (u - d)
!
:1!,&%)&('.(!*$,-<!,(+@!/(,*(D$+!`!('!)'$!/(!1$,!(7)$7&-'(,!$'.(+&-+(,N!
!
!f) ! B = (Su H cu ) (1 + rf)
cu = Su H B (1+r
21
22
q3,O+C(,(!2)(!,&!7/!h!Q/!!5!KW+EL!`!!!`!h!YQ/!!s!7/^!r!KW+EL9!b(7)(+/(<!7/!!;!1)(%-!`!~!;!*-+2)(!Q/!!!KW+EL!`!
Q&!1$!C-1$.&1&/$/<!!<!(,.@!+(E(+&/$!$1!#&,#-!*(+&-/-!$')$19!Q&!(,.)C&(+$!+(E(+&/$!$!)'!*(+&-/-!/&,.&'.-!1$!([*+(5
" t/n
,&6'!,(+8$! u = e
!('!1$!2)(!'!&'/&7$+8$!(1!'_#(+-!/(!,)3*(+&-/-,!('!1-,!2)(!,(!,)3/&C&/(!.9!>-+!(D(#*1-<!
,&!1$!C-1$.&1&/$/!E)(,(!$')$1!*(+-!1-,!*(+&-/-,!/(1!@+3-1!E)(,('!#(',)$1(,!.!h!W!G!'!h!WV9
41

ISSN: 1988-1878
!
G!,),.&.)&+!,)!C$1-+!('!1$!(7)$7&6'!4!h!Q!!s!`!
!
c = S H - (Su H - cu ) (1 + rf)
c (1 + rf) = S H + S H rf - Su H - cu
c (1 + rf) = S H (1 + rf - u) + cu
!
,),.&.)G('/-!$F-+$!!*-+!,)!C$1-+N!
!
c (1 + rf) = S cu - cd (1 + rf - u) + cu
S (u - d)
!
!
!
MF-+$<!F$7&('/-!)'!$1.-!('!')(,.+$!/(#-,.+$7&6'<!C$#-,!$!/('-#&'$+N!
a) p =
1 + rf - d
u - d
u - (1 + rf )
b) 1- p =!!
!
u - d
!
!
:,.-,!C$1-+(,!+(*+(,('.$'!1$!*+-3$3&1&/$/!&#*187&.$!/(!$,7(',-!K*L!G!/(!/(,7(',-!KW5*L!/(1!C$5
1-+!/(!1$!$77&6'!,)3G$7('.(9!M,8<!*-+!(D(#*1-<!,&!,),.&.)&#-,!('!1$!(7)$7&6'!/(!*!1$,!C$+&$31(,!
!
*-+!1-,!/$.-,!/(1!(D(#*1-!7-'!(1!2)(!C('&#-,!.+$3$D$'/-!-3.('/+(#-,!/&7F$,!*+-3$3&1&/$5
/(,N!
!
p = (1 + 0,03 - 0,664) (1,5063 - 0,664) = 43,46% de que ascienda
1-p = 56,54% de que descienda
!
>-+! .$'.-<! ,&! $F-+$! +(.-#$#-,! ')(,.+$! /(#-,.+$7&6'! G! ,),.&.)&#-,! *$+.(! /(! 1$! (7)$7&6'!
$'.(+&-+!*-+!(1!C$1-+!/(!W5*<!-3.('/+(#-,N!
!
c (1 + rf) = S cu - cd (1 + rf - u) + cu = cu - cd (1 + rf - u) + cu = (cu - cd) (p-1) + cu
u - d
S (u - d)
!
$F-+$!/(,*(D$'/-!4<!-3.('/+(#-,!1$!([*+(,&6'!2)(!7$17)1$!(1!C$1-+!/(!1$!-*7&6'!/(!7-#*+$!
!
,(%_'!(1!#O.-/-!3&'-#&$1!2)(<!7-#-!,(!*)(/(!$*+(7&$+<!7-',&,.(!('!7$17)1$+!1$!#(/&$!*-'5
!
/(+$/$!/(!1-,!E1)D-,!/(!7$D$!*+-*-+7&-'$/-,!*-+!1$!-*7&6'!/(!7-#*+$!.$'.-!,&!(1!*+(7&-!/(1!
$7.&C-!,)3G$7('.(!$,7&('/(!7-#-!,&!/(,7&('/(<!G!).&1&4$'/-!7-#-!*-'/(+$7&-'(,!1$,!*+-3$5
3&1&/$/(,!&#*187&.$,!/(!2)(!/&7F-!*+(7&-!/(1!$7.&C-!,)3$!-!7$&%$9!{!.-/-!(11-!$7.)$1&4$/-!$1!.&5
*-!1&3+(!/(!+&(,%-N!
!
c = cu p - cu - cd p + cd + cu = cu p + cd (1-p)
!
c =
!!
cu p + cd (1 - p)
!
1 + rf
42

ISSN: 1988-1878
H-'7+(.$'/-<!(1!*+(7&-!.(6+&7-!/(!1$!-*7&6'!/(!7-#*+$!(,!&%)$1!$1!C$1-+!$7.)$1!/(!1$!#(/&$!
*-'/(+$/$! /(! 1-,! E1)D-,! /(! 7$D$! 2)(! *+-*-+7&-'$9! >$+$! /(#-,.+$+! 2)(! O,.$! (,! 1$! (7)$7&6'!
2)(!3),7$#-,!,),.&.)&+(#-,!1$,!C$+&$31(,!*-+!,),!C$1-+(,VeN!
!
c = (4,05 x 0,4346 + 0 x 0,5654) (1,03) = 1,709 !
!
M!M!G!"bM!,(!1$,!7-'-7(!7-#-!I*+-3$3&1&/$/(,!'().+$1(,!$1!+&(,%-J!K/(!$,7(',-!G!/(!/(,7('5
,-L!*-+2)(!*$+(7('!*+-3$3&1&/$/(,!*(+-!!'-!1-!,-'9!b($1#('.(!,-'!1-,!*+(7&-,!.&(#*-5(,5
.$/-!/(!1-,!/-,!*-,&31(,!(,.$/-,!K$,7(',-5/(,7(',-L!#)1.&*1&7$/-,!*-+!W+E9!:1!'-#3+(!*-+!(1!
2)(! ,-'! 7-'-7&/$,N! /!&,*,"0"(*(' -#3.!*0' *0' !"#$%&! C&('(! /$/-! *-+N! $L! $#3$,! ,)#$'! 1$! )'&5
/$/<! 7-#-! 1$,! *+-3$3&1&/$/(,! ,)3D(.&C$,P! 3L! $#3$,! ,-'! *-,&.&C$,<! 7-#-! 1$,! *+-3$3&1&/$/(,!
,)3D(.&C$,P!G<!7L!7)$'/-!,(!).&1&4$'!*$+$!(,.&#$+!(1!+('/&#&('.-!(,*(+$/-!/(!)'!$7.&C-!7-'!
+&(,%-!F$7('!2)(!1$!*+&#$!/(!+&(,%-!/(,$*$+(47$!K,-'!)'$!(,*(7&(!/(!#B3"5*0#-.#$'(#')#!.#4
1*!/(!1-,!E1)D-,!/(!7$D$!&'7&(+.-,L9!
!
1;!=e5<:<!J9@<=92;!M232!:<8!M637<:<8!
H-'!-3D(.-!/(!-3.('(+!(1!C$1-+!/(!1$!-*7&6'!/(!7-#*+$!()+-*($!*$+$!C$+&-,!*(+8-/-,<!*+&#(5
+$#('.(!C$#-,!$!$*1&7$+!(1!#O.-/-!3&'-#&$1!*$+$!)'!*$+!/(!(11-,9!{!C$#-,!$!F$7(+1-!).&1&5
4$'/-! 1-,! /$.-,! /(1! (D(#*1-! $'.(+&-+! /(! .$1! #$'(+$! 2)(! C$#-,! $! C-1C(+! $! 7$17)1$+1-! *(+-!
,)3/&C&/&O'/-1-!('!/-,!*(+&-/-,!,(#(,.+$1(,9!>$+$!(11-!/(3(#-,!+($/$*.$+!1-,!/$.-,!/(!1-,!
2)(!/&,*-'(#-,!*$+$!*-/(+!#$'.('(+!1$!C-1$.&1&/$/!$')$1!/(1!kWa!$!.+$CO,!/(!/-,!*(+&-/-,!
,(#(,.+$1(,!/(!.$1!#$'(+$!2)(!1$!C-1$.&1&/$/!,(#(,.+$1!(2)&C$1('.(Vk!,(+@!/(1!Vna!1-!2)(!&#5
*1&7$!)'!7-(E&7&('.(!;!,(#(,.+$1!&%)$1!$!W<ee\e!G!)'$!<!,(#(,.+$1!/(!;<ok=e9!:'!7)$'.-!$1!.&5
*-!/(!&'.(+O,!,&'!+&(,%-!,(#(,.+$1!*$,$!$!,(+!$F-+$!&%)$1!$!KW<;eLWRV!s!W!h!W<kna9!!
!
b(,)#&('/-!1-,!/$.-,!3@,&7-,!/(1!(D(#*1-!C$'!$!,(+N!
!
- Precio actual de la accin Santander = 8 !
- Precio de ejercicio de la opcin de compra = 8 !
- Tiempo: 2 semestres
- Tipo de inters sin riesgo: 1,49% semestral
- Coeficiente de ascenso u = 1,3363
- Coeficiente de descenso d = 0,7483
!
:1!*+&#(+!*$,-!(,!/&3)D$+!(1!@+3-1!3&'-#&$1!/(!1$!(C-1)7&6'!/(1!*+(7&-!/(!1$!$77&6'!/(1!Q$'.$'5
/(+! $! 1-! 1$+%-! /(! 1-,! /-,! *+6[&#-,! ,(#(,.+(,<! @+3-1! 2)(! $*$+(7(! ('! 1$! E&%)+$! V=9! >$+$! (11-!
#)1.&*1&7$#-,! *-+! ?! G! *-+! :! (1! C$1-+! $7.)$1! /(! 1-,! =! i! 1-! 2)(! '-,! *(+#&.(! -3.('(+! 1-,! /-,!
*+(7&-,!2)(!1$!$77&6'!*)(/(!.-#$+!$1!E&'$1!/(1!*+&#(+!,(#(,.+(N!W;<\n!i!G!l<n=o!i9!MF-+$!+(5
*&.&('/-!1$!-*(+$7&6'!*$+$!7$/$!)'-!/(!(,.-,!/-,!*+(7&-,!/(1!*+&#(+!,(#(,.+(!-3.('/+(#-,!
1-,!.+(,!*+(7&-,!K+($1#('.(!,-'!7)$.+-!*(+-!/-,!7-&'7&/('L!/(1!E&'$1!/(1!,(%)'/-!,(#(,.+(N!
Wk<V=\!i<!=!i!G!k<k=!i9!
Ve
!B$!#8'&#$!/&,7+(*$'7&$!('!1$!7)$+.$!7&E+$!/(7&#$1!,(!/(3(!$!1-,!(++-+(,!/(!+(/-'/(-9!
24
WRV
!!,(#(,.+$1!h!!!$')$1!*-+!1$!+$84!7)$/+$/$!/(!WRV9!Vna!h!kWa![!KWrVL 9
43

ISSN: 1988-1878
U&%9!V=!:C-1)7&6'!,(#(,.+$1!/(1!C$1-+!/(!1$!$77&6'!/(1!Q$'.$'/(+!
!
:1!*$,-!,&%)&('.(!(,!7$17)1$+!(1!C$1-+!&'.+8',(7-!/(!1$!-*7&6'!/(!7-#*+$!$1!E&'$1!/(1!$0-!.(5
'&('/-!('!7)('.$!1-,!.+(,!*+(7&-,!*-,&31(,N!
!
Cuu = Mx [14,286 - 8 ; 0] = 6,286 !
Cud = Mx [8 - 8 ; 0 ] = 0 !
Cdd = Mx [4,48 - 8 ; 0] = 0 !
!
U&%9!Vn!j$1-+(,!&'.+8',(7-,!/(!1$!-*7&6'!/(!7-#*+$!$1!E&'$1!/(1!$0-!
!
:'!1$!E&%)+$!Vn!,(!-3,(+C$'!1-,!.+(,!C$1-+(,!&'.+8',(7-,!$'.(+&-+(,9!M,8!2)(!$F-+$!,(!.+$.$!/(!
&+! 7$17)1$'/-! F$7&$! 1$! &42)&(+/$! /(1! @+3-1! 3&'-#&$1! 1-,! C$1-+(,! &'.(+#(/&-,! /(! 1$! -*7&6'! /(!
7-#*+$9!>$+$!(11-!).&1&4$+(#-,!1$,!*+-3$3&1&/$/(,!'().+$1(,!$1!+&(,%-9!
!
B$!*+-3$3&1&/$/!/(!$,7(',-!M!(,!&%)$1!$N!
!
1 + rf - d 1,0149 " 0,7483
!
p=
= 45,33%
=
u - d
1,3363 " 0,7483
!
MF-+$!*-/(#-,!7$17)1$+!7)!G!7/!KCO$,(!1$!E&%)+$!e;LN!
!
!
!!!!!!!cu =
cd =
cuu p + cud (1 - p)
6,286 x 0,4533 + 0 x (1 - 0,5467)
=
= 2,808 !
1 + rf
1, 0149
cud p + cdd (1 - p)
0 x 0,4533 + 0 x (1 - 0,5467)
=
=0!
1 + rf
1, 0149
44

ISSN: 1988-1878
U&%9!e;!j$1-+(,!&'.+8',(7-,!/(!1$!-*7&6'!/(!7-#*+$!$1!E&'$1!/(1!$0-!G!C$1-+(,!/(!1$!-*7&6'!$1!E&'$1!/(1!*+&#(+!
,(#(,.+(9!
!
>-+!_1.&#-!7$17)1$#-,!(1!C$1-+!/(!4N!
!
c=
!
!
cu p + cd (1 - p)
2,808 x 0,4533 + 0 x (1 - 0,5467)
=
= 1,254 !
1 + rf
1, 0149
U&%9!eW!:C-1)7&6'!/(!1-,!C$1-+(,!.(6+&7-,!/(!1$!-*7&6'!/(!7-#*+$!
!
:,.(!C$1-+!/(!1$!-*7&6'!/(!7-#*+$!,-3+(!1$!$77&6'!/(1!Q$'.$'/(+!(,!/&E(+('.(!/(1!7$17)1$/-!
$'.(+&-+#('.(9!T(!F(7F-!,&!/&C&/&#-,!(1!$0-!('!.+(,!7)$.+&#(,.+(,!(1!C$1-+!/(!1$!-*7&6'!,(+@!
/(!W<lW!i<!,&!1-!,)3/&C&/&#-,!('!7)$.+-!.+&#(,.+(,!(1!C$1-+!/(!1$!-*7&6'!,(+@!/(!W<eV!i<!,&!1-!
,)3/&C&/&#-,!('!7&'7-!*(+&-/-,!(1!C$1-+!(,!/(!W<k\!i!G!$,8!,)7(,&C$#('.(!(1!C$1-+!,(!&+@!$*+-5
[&#$'/-!$!W<k;!i!2)(!(,!(1!C$1-+!+($1!/(!1$!-*7&6'!/(!7-#*+$!KCO$,(!1$!E&%)+$!eVL9!
!
U&%9!eV!:C-1)7&6'!/(1!C$1-+!/(!1$!-*7&6'!/(!7-#*+$!,(%_'!1$,!&.(+$7&-'(,!/(1!#-/(1-!3&'-#&$1!
!
45

ISSN: 1988-1878
H-'E-+#(!C$G$#-,!$)#('.$'/-!(1!'_#(+-!/(!,)3*(+8-/-,!G<!*-+!7-',&%)&('.(<!+(/)7&('/-!
(1!.&(#*-!/(!1-,!#&,#-,!*$,$+(#-,!/(!7-',&/(+$+!(1!.&(#*-!7-#-!)'$!C$+&$31(!/&,7+(.$!$!
7-',&/(+$+1-!)'$!C$+&$31(!7-'.&')$9!:'!+($1&/$/<!*$+$!)'-,!+(,)1.$/-,!C@1&/-,!(1!.&(#*-!F$,5
.$! (1! C('7&#&('.-! K)'! $0-! ('! ')(,.+-! (D(#*1-L! /(3(+8$! ,(+! /&C&/&/-! $1! #('-,! ('! )'-,! l;!
,)3*(+8-/-,9!
!
!
!!
"" # ! 1.!C()1.(!)1!\.-+g!R !/+h(.1/ !
!
:1!#-/(1-!/(,$++-11$/-!*-+!1-,!*+-E(,-+(,!U&,7F(+!`1$7g!G!fG+-'!Q7F-1(,Vl!*$+$!C$1-+$+!1$,!-*5
7&-'(,!/(!.&*-!()+-*(-!(,!&#*-+.$'.(<!'-!,61-!*-+!.('(+!('!7)('.$!1$!C$1-+$7&6'!/(1!$+3&.+$D(<!
,&'-!*-+!*+-*-+7&-'$+!)'$!,-1)7&6'!$'$18.&7$!('!)'!,61-!*$,-<!(,!#)7F-!#@,!+@*&/-!/(!7$17)1$+!
2)(!(1!3&'-#&$1!K$)'2)(!.$#3&O'!(,!#('-,!E1([&31(L!G!$,)#(!2)(!1-,!+('/&#&('.-,!/(!1-,!$7.&5
C-,!,(!/&,.+&3)G('!'-+#$1#('.(!1-!2)(!(,!.(6+&7$#('.(!+$4-'$31(9!!
!
:1!#-/(1-!7-',&/(+$!2)(!(1!*+(7&-!/(1!$7.&C-!,)3G$7('.(!,(!/&,.+&3)G(!,(%_'!)'$!'-+#$1!1-%$5
+8.#&7$!*$+$!1$!2)(!,)!C$+&$'4$!(,!*+-*-+7&-'$1!$1!.&(#*-9!B-,!,)*)(,.-,!/(!1-,!2)(!*$+.(!,-'!
1-,!,&%)&('.(,N!
!
W9!:1!*+(7&-!/(1!$7.&C-!,&%)(!)'$!/&,.+&3)7&6'!'-+#$1!1-%$+8.#&7$<!*-+!1-!2)(!1-,!+('/&5
#&('.-,!,(!/&,.+&3)G('!'-+#$1#('.(9!
V9!:1!C$1-+!/(!1-,!+('/&#&('.-,!(,!7-'-7&/-!G!(,!/&+(7.$#('.(!*+-*-+7&-'$1!$1!*$,-!/(1!
.&(#*-9!
e9!]-!F$G!7-,.(,!/(!.+$',$77&6'<!$,8!2)(!,(!*)(/(!(,.$31(7(+!)'$!7-3(+.)+$!,&'!+&(,%-,!
('.+(!(1!$7.&C-!G!1$!-*7&6'!,&'!'&'%_'!7-,.(9!
k9!B-,!.&*-,!/(!&'.(+O,!,-'!7-'-7&/-,!G!7-',.$'.(,9!
l9!T)+$'.(!(1!*(+8-/-!/(!(D(+7&7&-<!1$!$77&6'!,)3G$7('.(!'-!*$%$+@!/&C&/('/-,9!
\9!B$,!-*7&-'(,!,-'!/(!.&*-!()+-*(-!
!
:1!#-/(1-!/(,$++-11$/-!*-+!`1$7g!G!Q7F-1(,<!7)G$!E6+#)1$!/(!C$1-+$7&6'!/(!-*7&-'(,!()+-5
*($,! #-,.+$#-,! ,(%)&/$#('.(<! +(,)(1C(! (1! *+-31(#$! E)'/$#('.$1! /(! 1$! C$1-+$7&6'! /(! 1$,!
#&,#$,!2)(!7-',&,.(!('!2)(!/$/-,!(1!.&(#*-!2)(!E$1.$!F$,.$!,)!C('7&#&('.-!K5L<!(1!.&*-!1&3+(!
/(!+&(,%-!K3>L<!(1!*+(7&-!/(!(D(+7&7&-!/(!1$!-*7&6'!KcL!G!1$!C$+&$'4$!/(!1$!.$,$!/(!+('.$3&1&/$/!
&',.$'.@'($!K!VL<!F$3+@!2)(!/(.(+#&'$+!1$!+(1$7&6'!([&,.('.(!('.+(!(1!7-,.(!/(!1$!-*7&6'!/(!
7-#*+$!()+-*($!K4L!G!(1!*+(7&-!/(!1$!$77&6'!,-3+(!1$!2)(!+(7$(!KQ-L9!T&,*-'&('/-!/(!)'!#-5
/(1-!2)(!-E+(7&(,(!.$1!+(1$7&6'<!7$/$!/8$!,(!*-/+8$!/(.(+#&'$+!2)O!-*7&-'(,!,(!('7)('.+$'!
&'E+$C$1-+$/$,!G!7)@1(,!,-3+(C$1-+$/$,!#(/&$'.(!1$!,&#*1(!&'.+-/)77&6'<!('!1$!E6+#)1$<!/(1!
*+(7&-!/(!1$!$77&6'!(,(!/8$9!!
!
r t
c = So N(d1) - X e- f N(d2)
!
Vl
!`BMHd<!U&,F(+!G!QHqB:Q<!fG+-'N!pXF(!>+&7&'%!-E!q*.&-',!$'/!H-+*-+$.(!B&$3&1&.&(,p9!N&3!-*0'&2'K&0".")*0'<)&-&+D!'t!=W9!
f$G-5c)'&-!Wnoe9!:,!/(!D),.&7&$!/(,.$7$+!1$!$*-+.$7&6'!2)(!.)C-!b-3(+.!f(+.-'!('!(1!#-/(1-!/(!`1$7g!G!Q7F-1(,9!!!
46

ISSN: 1988-1878
T-'/(! ]K/&L! (,! 1$! E)'7&6'! /(! /&,.+&3)7&6'! /(! 1$! C$+&$31(! $1($.-+&$! '-+#$1! /(! #(/&$! ')1$! G!
/(,C&$7&6'!.8*&7$!)'&.$+&$!K*+-3$3&1&/$/!/(!2)(!/&7F$!C$+&$31(!,($!#('-+!-!&%)$1!$!/&L9!
!
1
Ln(S 0/X) + rf t + "2t
2
d1 =
;
d2 = d1 - " t !
" t
!
>$+$!`1$7g!G!Q7F-1(,!)'!&'C(+,-+!+$7&-'$1!')'7$!(D(+7(+8$!)'$!-*7&6'!/(!7-#*+$!$'.(,!/(!,)!
7$/)7&/$/V\!G<!*-+!1-!.$'.-<!(1!C$1-+!/(!1$!-*7&6'!/(!7-#*+$!$#(+&7$'$!7-&'7&/&+@!7-'!1$!()5
!
+-*($9!>-+!-.+$!*$+.(<!/$/-!2)(!1$!-*7&6'!/(!C('.$!$#(+&7$'$!&'7-+*-+$!,-3+(!1$!()+-*($!1$!
C('.$D$!/(!*-/(+!,(+!(D(+7&/$!('!7)$12)&(+!#-#('.-!/(1!*(+8-/-<!,)!C$1-+!,)*(+$+@!$!1$!7-+5
+(,*-'/&('.(!()+-*($<!*+-*-+7&-'$'/-!1$!C$1-+$7&6'!/(!O,.$!_1.&#$!)'!18#&.(!#8'&#-!*$+$!
$2)O11$9!:,.(!18#&.(!#8'&#-!,(!7$17)1$+8$!$!.+$CO,!/(!1$!+(1$7&6'!/(!*$+&/$/<!-3.('&O'/-,(!(1!
,&%)&('.(! C$1-+! *$+$! )'$! -*7&6'! /(! C('.$! ()+-*($! K/-'/(! (5+E.! (,! (1! E$7.-+! /(! /(,7)('.-!
7-'.&')-LN!
!
*!h!7!5!Q-!!jMKzL!
!
*!h!YQ-!]K/WL!5!z!!(5+E!.!]K/VL^!5!Q-!!z!!(5+E!.!
!
*!h!Q-!Y]K/WL!5W^!5!z!(5+E!.!Y]K/VL!5W^!
!
H-#-!,(!*)(/(!$*+(7&$+!1$!([*+(,&6'!/(!`1$7g!G!Q7F-1(,!$*1&7$!)'$!*-'/(+$7&6'!/(!]K/WL!$!Q-!
G!-.+$!/(!]K/ L!$!z!(5+E.9!Q&!1$!(7)$7&6'!,(!+(11('$!/$'/-!C$1-+(,!*-+!('7&#$!/(1!18#&.(!&'E(5
V
+&-+<!('.-'7(,!]K/WL!/(3(+@!,(+!#$G-+!2)(!]K/VL9!
!
Ejemplo:
El precio actual de una accin (S0) es de 10 euros
El precio de ejercicio (X) es de 11 euros
La tasa libre de riesgo (rf) es del 10%
El tiempo hasta el vencimiento (t) es de 0,5 aos

La volatilidad expresada mediante la desviacin tpica (!) de los rendimientos del
activo subyacente es del 30%
Calcular el valor de la opcin de compra (c)
Q),.&.)G('/-!(,.-,!C$1-+(,!('!1$,!(7)$7&-'(,!+(*+(,('.$.&C$,!/(!/W!G!/V<!-3.('/+(#-,N!
!
d1 = -0,10753
>
N(d1) = 0,457185
d2 = -0,31966
>
N(d2) = 0,374613
26
b(7)(+/(<!1$!-*7&6'!/(!7-#*+$!C$1(!#@,!IC&C$J!2)(!I#)(+.$J!1)(%-!1$,!-*7&-'(,!/(!7-#*+$!$#(+&7$'$,!C$1('!1-!#&,#-!
2)(!1$,!()+-*($,9
47

ISSN: 1988-1878
!
!
!
{!,),.&.)G('/-!('!1$!(7)$7&6'!/(!`1$7g!G!Q7F-1(,N!
c = 10 x 0,457185 - 11 x e-0,5x0,10 x 0,374613
c = 0,65 euros
!
Q&!(1!C$1-+!/(!1$!-*7&6'!/(!7-#*+$!('!(1!#(+7$/-!(,!&'E(+&-+!$!;<\l!()+-,<!1$!$/2)&+&+8$#-,!G!
,&! E)(,(! ,)*(+&-+! 1$! C('/(+8$#-,9! >-+! -.+$! *$+.(<! ,&! 7$17)1@,(#-,! (1! C$1-+! /(! 1$! -*7&6'! /(!
C('.$!()+-*($!-3.('/+8$#-,!)'!C$1-+!/(!*!h!W<WWl\!()+-,9!
!
:'! $2)(11-,! #(+7$/-,! 7-'! )'! $1.-! %+$/-! /(! (E&7&('7&$! ,(! ).&1&4$! (,.(! #-/(1-! *$+$! F$11$+! 1$!
C$+&$'4$!/(!)'$!$77&6'!7)$12)&(+$!K!V&L!7-#-!#(/&/$!/(!,)!+&(,%-!.-.$1!K1$!5&0*."0"(*('"+/074
)".*GM!>$+$!(11-!,(!,)*-'(!2)(!(1!C$1-+!&'.+8',(7-!/(!1$!-*7&6'!7-&'7&/(!7-'!(1!/(!#(+7$/-!G!
,(!.+$.$!('.-'7(,!/(!$C(+&%)$+!2)(!C$1-+!/(!!V!F$7(!2)(!,(!7)#*1$!1$!(7)$7&6'!/(!`1$7g!G!
Q7F-1(,9!
!
!
!
"A # ! .- !+(\1'&*'-!)1!'$1/H( !+(%!(D+$(%1/ !
!
"A#"!+<J635?32!4<@!<M49<@68!:6!V6@52#!
:,.(!.&*-!/(!7-3(+.)+$!E-+#$!*$+.(!/(!1-!2)(!,(!/('-#&'$!$#%3!&'(#')*!.#!*!K/&!.2&0"&'"-$34
!*-)#L<!2)(!7-',&,.(!('!7)3+&+!)'$!*-,&7&6'!1$+%$!('!)'!$7.&C-!E&'$'7&(+-!#(/&$'.(!)'$!*-,&5
7&6'!7-+.$!('!-*7&-'(,!/(!7-#*+$<!-!1$+%$!('!-*7&-'(,!/(!C('.$<!,-3+(!/&7F-!$7.&C-9!B$,!-*5
7&-'(,!F$7('!(1!*$*(1!/(!)'!,(%)+-<!*-+2)(!$!.+$CO,!/(!(,.$!E-+#$!/(!7-3(+.)+$!,(!*)(/('!
1&#&.$+!1$,!*O+/&/$,!$!)'!'&C(1!#@[&#-!*+(/(.(+#&'$/-!G!$*+-C(7F$+,(!/(!1$,!%$'$'7&$,!2)(!
1$!7$+.(+$!*)(/$!-3.('(+9!"#$%8'(,(<!*-+!(D(#*1-<!(1!,(%)+-!7-'.+$!&'7('/&-,!/(!)'$!7$,$P!
),.(/!*$%$!)'$!7$'.&/$/!$')$1!2)(!1(!*(+#&.(!+(/)7&+!,),!*O+/&/$,!('!7$,-!/(!&'7('/&-!*(5
+-<!#&('.+$,!(,.-!'-!-7)++(<!),.(/!/&,E+).$!/(!,)!7$,$9!MF-+$!3&('<!7)$'.-!#('-+(,!*O+/&/$,!
2)&(+$!),.(/!.('(+!#@,!7$+-!1(!+(,)1.$+@!(1!,(%)+-9!
!
B$! (,.+$.(%&$! 7-',&,.('.(! ('! $/2)&+&+! -*7&-'(,! /(! C('.$! 7-'! -3D(.-! /(! 7)3+&+! )'$! *-,&7&6'!
1$+%$!('!)'!$7.&C-!,(!/('-#&'$!/3.'/!&.#).&!*9!Q(%)&/$#('.(<!C$#-,!$!$'$1&4$+1$!$!.+$CO,!
/(!)'!(D(#*1-!2)(!).&1&4$!)'$!-*7&6'!/(!C('.$!,-3+(!8'/&7(,!3)+,@.&1(,9!
!
Q)*-'%$#-,! 2)(! (1! =! /(! ,(*.&(#3+(! .('(#-,! )'$! 7$+.(+$! E-+#$/$! *-+! $7.&C-,! /(! +('.$!
C$+&$31(!C$1-+$/$!('!W;!#&11-'(,!/(!()+-,!7)G-!7-(E&7&('.(!/(!C-1$.&1&/$/!O#.*!(,!/(1!W<e!G!
*+(.('/(#-,! 7)3+&+1$! 7-'! )'$! -*7&6'! /(! C('.$! ,-3+(! (1! "3([5el! ,&('/-! (1! C$1-+! /(! O,.(! $1!
7&(++(!/(!=9oW;<W;!*)'.-,9!"'.('.$+(#-,!7)3+&+'-,!1-!#@,!*-,&31(!*-+!1-!2)(!$/2)&+&+(#-,!
)'$!-*7&6'!/(!C('.$!7-'!*+(7&-!/(!(D(+7&7&-!=9o;;<!2)(!(,!(1!*+(7&-!/(!(D(+7&7&-!*.'.>#'+&4
-#D9!:1!F-+&4-'.(!.(#*-+$1!1-!(,.$31(7(#-,!('!,(&,!#(,(,!K(1!.&*-!/(!&'.(+O,!,&'!+&(,%-!*$+$!
1-,!,(&,!#(,(,!,(!,)*-'(!/(1!Va!,(#(,.+$1L9!
!
48

ISSN: 1988-1878
:1!'_#(+-!/(!-*7&-'(,!/(!C('.$!'(7(,$+&$,!,(!-3.&('(!/&C&/&('/-!(1!C$1-+!/(!1$!7$+.(+$!('.+(!
(1!C$1-+!/(1!*+(7&-!/(!(D(+7&7&-!K+(7)(+/(!2)(!F$G!2)(!#)1.&*1&7$+!*-+!W;!(1!C$1-+!/(1!8'/&7(!
*$+$!-3.('(+!(1!C$1-+!/(1!*+(7&-!/(!(D(+7&7&-!/(1!7-'.+$.-!/(!-*7&6'!('!(1!f:UULN!
!
10.000.000
N terico =
= 114,94 opciones de venta!
8.700 x 10
!
Q(%)&/$#('.(!*+-7(/(+(#-,!$!$D),.$+!(,.(!'_#(+-!/(!-*7&-'(,!7-'!+(1$7&6'!$!1$!C-1$.&1&/$/!
/(!1$!7$+.(+$<!*$+$!1-!7)$1!1-!#)1.&*1&7$+(#-,!*-+!(1!C$1-+!/(!1$!u(.$N!
!
!
N = 114,94 x 1,3 = 149,43 " 150 opciones de venta
!
:1!*+(7&-!/(!1$!-*7&6'!/(!C('.$!/(!*+(7&-!/(!(D(+7&7&-!=9o;;!7-'!C('7&#&('.-!('!Q(*.&(#3+(!
(+$! /(! eWk! *)'.-,<! (,! /(7&+<! e9Wk;! ()+-,! 1-! 2)(! &#*1&7$! *$%$+! *-+! 1$,! Wl;! -*7&-'(,! )'-,!
koW9;;;!()+-,9!:1!7-,.(!/(1!,(%)+-!(,!&%)$1!$!eWk!r!=9o;;!h!e<\Wa!('!,(&,!#(,(,!K)'!o<VVa!
'-#&'$1!$')$1L9!
!
Q&<!*-+!(D(#*1-<!(1!/8$!/(1!C('7&#&('.-!(1!8'/&7(!"3([5el!.-#$!)'!C$1-+!/(!=9;;;!*)'.-,<!(,!
/(7&+<!F$!/(,7('/&/-!)'!=<Wla<!(1!/(,7(',-!/(!1$!7$+.(+$!F$3+@!,&/-!/(!=<Wla!*-+!W<e!1-!2)(!
/$!)'!C$1-+!/(!W;<\a!KW<;\!#&11-'(,!/(!()+-,!/(!*O+/&/$L9!Q&!(,(!/8$!(D(+7(#-,!1$,!-*7&-'(,!
/(!C('.$!-3.('/+(#-,!)'!C$1-+!&%)$1!$!K=9o;;!5!=9;;;L![!W;![!Wl;!h!W<;l!#&11-'(,!/(!()+-,9!
:,.-!&#*1&7$!2)(!1$!*O+/&/$!/(!1$!7$+.(+$!7)3&(+.$!K&'71)G('/-!(1!7-,.(!/(1!,(%)+-!G!,)!7$*&.$5
1&4$7&6'!,(&,!#(,(,!#@,!.$+/(!$1!Va!/(!&'.(+O,!,(#(,.+$1L!,(+@!&%)$1!$N!
!
-1.060.000 + 1.050.000 - 471.000 (1,02) = -490.420 euros
!
*O+/&/$! &'E(+&-+! $! 1$! 2)(! ,(! F$3+8$! -3.('&/-! ,&! '-! ,(! F)3&(,(! 7)3&(+.-! 1$! 7$+.(+$9! q3,(+C(!
2)(!7-'!)'!7-'.+$.-!/(!E).)+-,!,-3+(!(1!"3([5el!,(!*-/+8$!F$3(+!7)3&(+.-!7$,&!*(+E(7.$#('5
.(!(1!+&(,%-!*(+-!'-!*-/+8$#-,!/&,E+).$+!/(!1$,!C('.$D$,!2)(!*-/+8$#-,!7-',(%)&+!,&!(1!C$1-+!
/(1!"3([!F)3&(,(!$,7('/&/-!('!1)%$+!/(!7$(+9!
!
:,!&#*-+.$'.(!.('(+!('!7)('.$!2)(!,&!'-!*(',$#-,!#$'.('(+!1$,!-*7&-'(,!/(!C('.$!F$,.$!,)!
C('7&#&('.-!'(7(,&.$+8$#-,!7-++(%&+!(1!C$1-+!$'.(+&-+!/&C&/&O'/-1-!*-+!1$!(#0.*!/(!1$!-*7&6'!
KO,.$!&'/&7$!7)@'.-!C$+8$!(1!C$1-+!/(!1$!-*7&6'!$'.(!)'$!C$+&$7&6'!/(1!C$1-+!/(1!$7.&C-!,)3G$5
7('.(!sC$(+!$'([-!eL9!:,.-!(,!'(7(,$+&-!*-+2)(!7)$'.-!#@,!1(D-,!/(1!C('7&#&('.-!/(!1$!-*5
7&6'!'-,!('7-'.+(#-,!#$G-+!/&,*$+&/$/!([&,.&+@!('.+(!(1!#-C&#&('.-!/(1!*+(7&-!/(!1$!-*7&6'!
G!(1!/(!,)!$7.&C-!,)3G$7('.(!K/(3&/-!$!1$!([&,.('7&$!/(1!C$1-+!.(#*-+$1<!C$1-+!2)(!(,!#)G!*(5
2)(0-!('!1$,!*+-[&#&/$/(,!/(1!C('7&#&('.-L<!*-+!1-!2)(!,)!7-3(+.)+$!,(+@!&#*(+E(7.$9!:,!/(5
7&+<!,&!(1!$7.&C-!,)3G$7('.(!C(!/(,7('/(+!,)!C$1-+!('!)'!W;a<!C(+(#-,!2)(!(1!*+(7&-!/(!1$!-*5
7&6'!/(!C('.$!'-!$)#('.$!('!1$!#&,#$!7$'.&/$/9!
!
:'!1$!E&%)+$!ee!,(!#)(,.+$!(1!(,2)(#$!/(!1-,!E1)D-,!/(!7$D$!/(!)'$!/3.'/!&.#).&!*!('!,)!E(7F$!
/(!C('7&#&('.-9!:1!$7.&C-!$/2)&+&/-!K1$!$77&6'L!,(!+(*+(,('.$!#(/&$'.(!1$!18'($!/&$%-'$1!$4)1!
2)(!7+)4$!(1!(D(!/(!$3,7&,$,!('!(1!C$1-+!l!&'/&7$.&C-!/(!,)!7-.&4$7&6'!$7.)$19!B$!-*7&6'!/(!C('5
.$!$/2)&+&/$!-!I*).!7-#*+$/$J!s18'($!C(+/(5!,(!+(*+(,('.$!/(!.$1!#$'(+$!2)(!,)!*+(7&-!/(!
49

ISSN: 1988-1878
(D(+7&7&-!Kl!iL!7-&'7&/$!7-'!(1!C$1-+!/(!1$!$77&6'!,)3G$7('.(!('!(1!#-#('.-!/(!+($1&4$+!1$!7-5
3(+.)+$!K*-/+8$'!'-!7-&'7&/&+!,&!/(,(@,(#-,!-.+-!.&*-!/(!7-3(+.)+$!#('-,!*(+E(7.$L9!B$!18'($!
+-D$!#)(,.+$!(1!+(,)1.$/-!/(!1$!7-#3&'$7&6'!/(!1$!*-,(,&6'!/(!1$!$77&6'!G!/(!1$!-*7&6'!/(!
C('.$!,-3+(!(11$!51$!I*).!*+-.(7.-+$J5!%+$7&$,!$!1$!7)$1!$,)#&#-,!1$!*-,&3&1&/$/!/(!*(+/(+!7-5
#-!#@[&#-!;<l!i!K(1!7-,.(!/(!1$!-*7&6'!/(!C('.$!-!,(%)+-!/(!7$+.(+$L!$!7$#3&-!/(!%$'$+!#(5
'-,!,&!(1!C$1-+!/(!1$!$77&6'!,)3G$7('.(!,(!#)(C(!E$C-+$31(#('.(!*$+$!')(,.+-,!&'.(+(,(,9!
!
!
U&%9ee!:D(#*1-!/(!!1-,!+(,)1.$/-,!/(!)'$!/3.'/!&.#).&!*!,-3+(!1$!7-#*+$!/(!)'!$77&6'!2)(!7-.&4$!$!l!()+-,!G!1$!
C('.$!/(!)'$!-*7&6'!/(!C('.$!7-'!*+(7&-!/(!(D(+7&7&-!/(!l!()+-,!G!7)G$!*+&#$!C$1(!;<l!()+-,!
!
!
"A#A!+<J635?32!4<@!<M49<@68!:6!4<=M32!
q.+$!(,.+$.(%&$!/(!7-3(+.)+$!(,!1$!/('-#&'$/$!('!&'%1O,!)&5#!#(')*00$!)!&/)"&-#$'(#')&+/!*'
)3,"#!.*$'7)G-!-3D(.&C-!(,!+(/)7&+!(1!C-1)#('!/(!*O+/&/$,!('!(1!7$,-!/(!2)(!7$&%$!(1!C$1-+!/(!
1$!7$+.(+$!/(!$77&-'(,9!H-'7+(.$#('.(<!7-',&,.(!('!1$!7-#*+$!,&#)1.@'($!/(!)'$!$77&6'!G!1$!
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27
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50

ISSN: 1988-1878
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51

ISSN: 1988-1878
-@6i<!"!
Futuro sobre el Bono 10 en el MEFF
http://www.meff.com/aspx/Comun/Pagina.aspx?l1=Financiero&f=NuevoBono10
!
!
1;!J<@<!6@536K2J;6!=j8!64<@Y=94<!
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b(1$7&6'!/(!C$1-+(,!('.+(%$31(,!G!,),!E$7.-+(,!/(!7-'C(+,&6'!KD)1&-!V;WVL!
52

ISSN: 1988-1878
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53

ISSN: 1988-1878
-@6i<!A!
Futuro sobre Ibex 35 en el MEFF
http://www.meff.com/aspx/Comun/Pagina.aspx?l1=Financiero&f=FuturosIBEX35!
54

ISSN: 1988-1878
-@6i<!G!
La sensibilidad del valor de una opcin: las griegas
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55

ISSN: 1988-1878
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ISSN: 1988-1878
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61

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