VALUATION AND OPTIMAL EXERCISE TIME FOR THE BANXICO PUT OPTION

Résumé fourni par la source

Since 1996, the Central Bank of México issues a put option in order to buy American Dollars as a way of increasing its international reserves. This is an exotic option that gives the right to the Mexican banks to sell this currency to the Central Bank at the price of the day before the date of exercise. The option has a maturity of one month and can be exercised on any day during this period, subject to an additional condition that depends on the average price of the Dollar during the previous 20 days. In this work we study the valuation and the optimal time of exercise of this option under the Binomial and the Black–Scholes Models. The optimal time of exercise is found for the Binomial model and a rule of exercise is proposed for the Black–Scholes Model. Numerical results are included to illustrate the performance of this rule of exercise.

Ce résumé expose les affirmations des auteurs. BNTIC ne l’interprète pas comme une validation indépendante des résultats.