SSRN Id2372613

Monografas de Juan Mascareas sobre Finanzas Corporativas
ISSN: 1988-1878
45 Opciones exticas
Opciones exticas
Juan Mascareas
Universidad Complutense de Madrid
Versin inicial: enero 1994 - ltima versin: diciembre 2013
Introduccin, 1
Opciones asiticas, 2
Opciones con barrera, 6
Opciones lookback, 11
Opciones shout, 15
Opciones ladder y ratchet, 17
Opciones cap, floors y collars, 18
Opciones quanto, 28
Opciones exchange, 29
Opciones cesta, 30
Opciones arco iris, 32
Opciones chooser, 33
Opciones diferidas, 35
Opciones con precio contingente, 38
Opciones compuestas, 38
Opciones digitales o binarias, 41
Bibliografa, 43
Electronic copy available at: http://ssrn.com/abstract=2372613

ISSN: 1988-1878
45 Opciones exticas
1. INTRODUCCIN
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Electronic copy available at: http://ssrn.com/abstract=2372613

ISSN: 1988-1878
45 Opciones exticas
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ISSN: 1988-1878
45 Opciones exticas
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ISSN: 1988-1878
45 Opciones exticas
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ISSN: 1988-1878
45 Opciones exticas
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14
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."

ISSN: 1988-1878
45 Opciones exticas
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/"

ISSN: 1988-1878
45 Opciones exticas
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0"

ISSN: 1988-1878
45 Opciones exticas
hE!S!1#%/1$%1/,@%1#%/1$%I!F+!)-(:'*:-!M9$9&N!,$!)>*+=>$&'*!#&!+*,!#-,!/*''&'*,!&,!
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1"

ISSN: 1988-1878
45 Opciones exticas
`-'!,>.>&,:-3!+*,!-.)$-(&,!/*''&'*!.>&#&(!,&'!#&!:$.-!&>'-.&-!-!*7&'$)*(-!8!#&!)-7A
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17
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2"

ISSN: 1988-1878
45 Opciones exticas
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!3"

ISSN: 1988-1878
45 Opciones exticas
&,&!)*,-!+*!-.)$<(!:-7*'J*!>(!9*+-'!(>+-!$(7&#$*:*7&(:&E!D-7-!,&!-/,&'9*!&+!9*+-'!#&!
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!!"

ISSN: 1988-1878
45 Opciones exticas
B.)$-(&,!#&!9&(:*!!!U0;!ym!A!U$(!yQW3!Q13EEE3!Q(6!3!Wz!
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21
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24
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!#"

ISSN: 1988-1878
45 Opciones exticas
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25
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!$"

ISSN: 1988-1878
45 Opciones exticas
aZ3WgE!F+!.'&)$-!7J($7-!&,!aZ3Wg!&(!:'&,!#&!&++-,!8!#&!hR3ah!&(!&+!'&,:*(:&!.-'!+-!
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!%"

ISSN: 1988-1878
45 Opciones exticas
)$-E!F+!9*+-'!#&!+*!-.)$<(!",,65#(6!#&!9&(:*!&,I!1a3dZ!2&+!9*+-'!#&!>(*!-.)$<(!#&!9&(:*!
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!
!."

ISSN: 1988-1878
45 Opciones exticas
",>7$&(#-!=>&!!Q:! u!mE!X-(#&3!QC!&,!&+!9*+-'!#&+!*):$9-!,>/8*)&(:&!&(!&+!9&()$7$&(:-!
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!
!/"

ISSN: 1988-1878
45 Opciones exticas
`-'!,>&':&3!8*!(-!G*8!70,!.-,$/$+$#*#&,!#&!M4'$:*'N!.-'!+-!=>&!*G-'*!,$!=>&!.-#&7-,!
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4'*7*!,$7$+*'OhE!
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6 . OPCIONES LADDER Y RATCHET
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%&)G*! #&! 9&()$7$&(:-! :-#-! &+! ,&(#&'-! '&)-''$#-! .-'! &+! *):$9-! ,>/8*)&(:&! &(! %-'7*!
)-(:$(>*!.*'*!&+&4$'!&+!.'&)$-!#&!&@&')$)$-3!G*/'0!=>&!G*)&'+-!&(!%-'7*!#$,)'&:*E!
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(*()$*!#&!Z!&>'-,!21WZ!p!1WW6!.*,&!+-!=>&!.*,&!+>&4-K!8!,$!:-#*9J*!,>/&!-:'-!.&+#*H-!
70,! '&)$/$'0! -:'-,! O! &>'-,! 70,! ,&4>'-,3! &,! #&)$'3! h3! &:)5:&'*E! L-! $7.-':*! ,$! +>&4-! &+!
.'&)$-!&9-+>)$-(*!*!+*!/*@*3!+*,!4*(*()$*,!'&)$/$#*,!,-(!,&4>'*,E!Q$3!&(!+*!%&)G*!#&!9&(A
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26
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!0"

ISSN: 1988-1878
45 Opciones exticas
!
Q$3!&(!&+!&@&7.+-!*(:&'$-'3!*+!++&4*'!+*!%&)G*!#&!9&()$7$&(:-!&+!.'-.$&:*'$-!,<+-!'&)$/&!+*!
#$%&'&()$*! &(:'&! &+! .&+#*H-! 70,! *+:-! =>&! &+! ,>/8*)&(:&! G*! ,>.&'*#-! *! +-! +*'4-! #&! +*!
9$#*!#&!+*!-.)$<(!21Wg6!8!&+!.'&)$-!$($)$*+!21WW63!&,!#&)$'3!g!&>'-,!&(:-()&,!+*!-.)$<(!,&!
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&,!,$7$+*'!*!+*!*(:&'$-'3!)-(!+*!&;)&.)$<(!#&!=>&!+*,!4*(*()$*,!,<+-!,&!4*'*(:$?*(!)>*(A
#-!&+!.'&)$-!#&+!,>/8*)&(:&!'&/*,*!)$&':-,!($9&+&,!-!/*''&'*,3!&,!#&)$'3!+*!"#//-0!9$&(&!*!
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)-7.'*!.>&#&(!:&(&'!+>4*'!)*#*!9&?!=>&!,&!*+)*(?*!>(!.&+#*H-!70,!*+:-!=>&!&+!,>/8*A
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27
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29
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30
C*7/$5(!,&!+*!)-(-)&!)-7-!(-$"$%?E
!1"

ISSN: 1988-1878
45 Opciones exticas
'$*3!=>&!*+!9&(#&'+-!'&)$/&!>(*!.'$7*!.-'!4*'*(:$?*'!=>&!+*!)*'4*!%$(*()$&'*!#&/$#*!*!+-,!
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!2"

ISSN: 1988-1878
45 Opciones exticas
`-'!&@&7.+-3!,$!+*!&7.'&,*!G*!*#=>$'$#-!>(!G#!!)-(!>(!:$.-!+J7$:&!#&+!Z3WWn!295*,&!+*!
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.-,!#&!$(:&'5,!,&!)-7.*'*!)-(!&+!:$.-!#&!$(:&'5,!*)-'#*#-!)-7-!70;$7-!.*'*!
)-()'&:*'!&+!.*4-!*!'&*+$?*'E!P*!%'&)>&()$*!70,!)-7S(!.>&#&!,&'!#&!>(-3!:'&,!8!
,&$,!7&,&,E!F+!:5'7$(-!%'&)>&()$*!:*7/$5(!G*)&!'&%&'&()$*!*!+*,!7-(2#.&/-&!#1
?,E!
#6!W$!,&/-&$%*-0].&G#!I!F,!&+!:$.-!#&!$(:&'5,!#&!&@&')$)$-!#&!+*!-.)$<(!=>&3!*>(=>&!
,>&+&!,&'!%$@-3!.-#'J*!9*'$*'!*!+-!+*'4-!#&+!:$&7.-!#&!>(*!7*(&'*!.'&#&:&'7$A
(*#*E!
&6! _0$%($!#"& *-80$(,I! P*! )*(:$#*#! :&<'$)*! ,-/'&! +*! =>&! ,&! '&*+$?*! &+! )-(:'*:-3! =>&!
.>&#&!,&'!%$@*!-!9*'$*'!*!+-!+*'4-!#&+!:$&7.-E!
!
!
Ejemplo: Si una empresa adquiere un Cap al 3% durante cinco aos referido
a un Euribor-90 das sobre un principal terico de 10 millones de euros, el
banco que acta de contraparte le cobrara en concepto de prima, por
ejemplo, 246.000 euros a realizar en un nico pago. A cambio de ello, cada
tres meses (o en cada fecha de liquidacin) si el Euribor-90 est por encima
del 3% el banco le pagar a la empresa propietaria del Cap la diferencia
durante dicho perodo. Por ejemplo, si en la fecha de liquidacin el Euribor90 estuviese al 3,5%. El banco pagar
10.000.000 x (0,035-0,03) x 91/360 = 12.638,9 !
#3"

ISSN: 1988-1878
45 Opciones exticas
La empresa disfrutar de este derecho 20 veces a lo largo de la vida del cap

(5 aos).
!
!
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!
d
n
Nocional
Base e-rt [X N(-d ) - F N(-d )] !
Floor = "floorlet i # floorlet =
2
1
d
1
(1 + f
)
Base
!
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#!"

ISSN: 1988-1878
45 Opciones exticas
!
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##"

ISSN: 1988-1878
45 Opciones exticas
-!*+!)-(:'*'$-R1E!F,3!.-'!:*(:-3!>(!*)>&'#-!.-'!&+!=>&!&+!)-7.'*#-'!.-,&&!+*!)-/&':>'*!
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&+!.'&)$-!#&!&@&')$)$-!#&+!E",,03!7&(-'!,&'0!+*!.'-/*/$+$#*#!#&!=>&!5,:&!,&*!$%&*2-&<,1
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'*!>(!:$.-!E",,0!#&:&'7$(*#-!&;$,:$'0!,<+-!>(!:$.-!G#!!)-(!&+!7$,7-!.'&)$-!=>&!G*4*!
=>&!+*!:'*(,*))$<(!:&(4*!>(!)-,:&!(>+-E!
!
Ejemplo de un Collar: Una empresa tiene contrada una deuda que se extiende a lo largo de dos aos a un tipo de inters flotante Euribor-90, por lo
que decide fijar un tipo mximo del 5,5%. Para ello adquiere un contrato Cap
con un plazo de dos aos contra el Euribor-90, a un precio de ejercicio del
31
Q$!,&!*#=>$&'&!&+!G#!!8!,&!9&(#&!&+!E",,0&,&!+&!#&(-7$(*!G,""#0&!0-.*#*#0$,E!Q$!%>&,&!*+!)-(:'*'$-!,&'J*!>(!G,""#0&
!0-.*#<$.*#E
#$"

ISSN: 1988-1878
45 Opciones exticas
5,5% por lo que paga una prima del 0,35%. Con objeto de reducir el coste de
la cobertura, la empresa acepta no beneficiarse de un descenso de los tipos
de inters por debajo del 3,5%. As que vende un contrato Floor de dos aos
de plazo contra un Euribor-90 al precio de ejercicio del 3,5% por lo que recibe una prima del 0,15%. El coste total de la cobertura Collar es del 0,20%
bastante ms baja que los 0,35% que costara el Cap, eso s, a cambio de no
beneficiarse de un descenso de los tipos de inters (fig. 9). En cada una de
las fechas de comparacin podr ocurrir lo siguiente:
a) Si el Euribor-90 es mayor que el tipo Cap del 5,5%, la contraparte
del Collar pagar a la empresa: Euribor 5,5%.
b) Si 3,5% < Euribor-90 < 5,5%, no tendr lugar ningn transvase de
fondos entre las contrapartes.
c) Si el Euribor-90 es inferior al tipo Floor del 3,5%, la empresa pagar
a su contraparte: 3,5% - Euribor
!
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#%"

ISSN: 1988-1878
45 Opciones exticas
!
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#."

ISSN: 1988-1878
45 Opciones exticas
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!
#/"

ISSN: 1988-1878
45 Opciones exticas
!
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#0"

ISSN: 1988-1878
45 Opciones exticas
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#1"

ISSN: 1988-1878
45 Opciones exticas
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#2"

ISSN: 1988-1878
45 Opciones exticas
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$3"

ISSN: 1988-1878
45 Opciones exticas
.+-!j*e*+*!8!k8,:>.ZW!-!Q*+7-(!8!Q)G+&$)G&'Z1E!P*,!-.)$-(&,!)&,:*!:*7/$5(!.>&#&(!,&'!
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$!"

ISSN: 1988-1878
45 Opciones exticas
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ISSN: 1988-1878
45 Opciones exticas
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$$"

ISSN: 1988-1878
45 Opciones exticas
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ISSN: 1988-1878
45 Opciones exticas
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$."

ISSN: 1988-1878
45 Opciones exticas
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$/"

ISSN: 1988-1878
45 Opciones exticas
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ISSN: 1988-1878
45 Opciones exticas
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49
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$1"

ISSN: 1988-1878
45 Opciones exticas
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$2"

ISSN: 1988-1878
45 Opciones exticas
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%3"

ISSN: 1988-1878
45 Opciones exticas
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%!"

ISSN: 1988-1878
45 Opciones exticas
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%#"

ISSN: 1988-1878
45 Opciones exticas
b(*! -.)$<(! #&! )-7.'*! &>'-.&*! &,! &=>$9*+&(:&! *! .-,&&'! >(*! -.)$<(! /$(*'$*! #&+! :$.-!
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f&G*7->3!F'$)I!Mc*$(/-_!B.:$-(,NE!X$,.-($/+&!&(I!
!G::.I[[___E&'$)/&(G*7->E(&:[#-)>7&(:,[F()8)+-['*$(/-_!-.:$-(,E.#%!
D*,&83! V&%%! 2OWWZ6I! M"(! x(:'-#>):$-(! :-! F;-:$)! B.:$-(,NE! JbPb& S%/-0?0#/)#*-/& A#*2-<#*$(.&
Q>(2#%?-!9-+!O!(!OE!B:-H-E!`.I!hhAaO!
D+&_+-_3!P&,!8!Q:'$)e+*(#3!DG'$,!21]]a6I!Q>,*$(&+!*$,%.;&W2-&P*#*-&,7&*2-&M0*E!D&(4*4&!P&*'($(4!
j*e*+*3!V!8!k8,:>.3!b!2OWWg6I!MYm!f*,e&:!B.:$-(,NE!E0#%67)0*&P(2,,"&,7&E$%#%(-&[&A#%#?-<-%*E!
Q&.:E!X$,.-($/+&!&(I!
!G::.I[[___E%'*(e%>':A,)G--+E#&[)+$)(&:)+7[%$+&X-_(+-*#E#-4-$#\WWWWWW1W1W]1"fZ!
j>++3! V-G(! 21]]R6I! +!*$,%.4& E)*)0-.& [& +*2-0& R-0$'#*$'-& P-()0$*$-.E! `'&(:$)&! j*++E! F(4+&_--#!
D+$%%,!2LV6E!!
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MD-(:$(4&(:!
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G::.I[[___E,>.&'))E)-7[.*.&',[B+#&'`*.&',[D-(:$(4&(:E.#%!
56
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ISSN: 1988-1878
45 Opciones exticas
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`&'$++*3!">4>,:-!8!B*()&*3!X$*(*!2OWWR6I!M`'$)$(4!*(#!j&#4$(4!F;-:$)!B.:$-(,!_$:G!U-(:&!D*'+-!
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SSRN Id2372613

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Monografas de Juan Mascareas sobre Finanzas Corporativas

Opciones con barrera, 6

Opciones ladder y ratchet, 17

Opciones cap, floors y collars, 18

Opciones arco iris, 32

Opciones con precio contingente, 38

Opciones digitales o binarias, 41

Electronic copy available at: http://ssrn.com/abstract=2372613

Monografas de Juan Mascareas sobre Finanzas Corporativas

Electronic copy available at: http://ssrn.com/abstract=2372613

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

La empresa disfrutar de este derecho 20 veces a lo largo de la vida del cap

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

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Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

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Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

Monografas de Juan Mascareas sobre Finanzas Corporativas

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