Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/238329
Authors: 
Dapena, José P.
Serur, Juan Andrés
Siri, Julián R.
Year of Publication: 
2019
Series/Report no.: 
Serie Documentos de Trabajo No. 703
Abstract: 
The return dynamics of Argentina's main stock index, the SP Mer.Val., show a high level of volatility, signaling a higher degree of downside risk. To hedge against that specific risk, investors could buy put options. However, the Argentinean capital markets lacks variety of hedging contracts. The basic availability of put options depends on the possibility of short selling the underlying security, i.e. transfer risk to a third party, something not properly developed in the domestic market. Since data processing power has geometrically increased in the last decades and some mathematic formulas that were helpful for calculation had been surpassed by data gathering and processing that helps to find a better estimate when necessary, in this paper we show the point calculating protection against downside risk in the Argentinean stock market, using real data and programming an algorithm to perform calculations instead of resorting the standard Black-Scholes-Merton formulae, by means of a model free approach to acknowledge the issue.
Subjects: 
Asset pricing
options pricing
insurance
capital markets
JEL: 
C1
C3
G11
Document Type: 
Working Paper

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