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10/12/2018 11/12/2018 12/12/2018 1/12/2019 2/12/2019 3/12/2019 4/12/2019 5/12/2019 6/12/2019 7/12/2019 8/12/2019 9/12/2019
Rendimientos
0.0300000
0.0200000
0.0100000
-
1 7 13 19 25 31 37 43 49 55 61 67 73 79 85 91 97 103 109 115 121 127 133 139 145 151 157 163 169 175 181 187 193 199 205 211 217 223 229 235 241
-0.0100000
-0.0200000
-0.0300000
Caminata Aleatoria
Se desea recrear el camino de un borracho hacia su casa y determinar la distancia total del recorrido.
Se crea una caminata aleatoria con ayuda de las cordenadas de un plano cartesiano.
Usando la función ALEATORIO.ENTRE se generan cuatro resultados entre 0 y 3
2 0 0 2
1 1 0 1 0.5
0 0 -1 1
2 0 0 1 0
-2.5 -2 -1.5 -1 -0.5 0
2 0 1 1
0 0 0 1
Distancia Recorrida
Recorrido
0 Recorrido
1
3
1.4142135623731
2.23606797749979 2.5
2
2
1.5
3
2.5
2.23606797749979 2
1.4142135623731
2.23606797749979 1.5
2.82842712474619
1
2.23606797749979
2
0.5
1
1.4142135623731 0
1 1 2 3 4 5 6 7 8 9 10 11 12
1.4142135623731
1
el recorrido.
Camino
2.5
1.5
0.5
0
-1.5 -1 -0.5 0 0.5 1 1.5
Recorrido
5 6 7 8 9 10 11 12 13 14 15 16
Movimiento Browniano
3
0
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 101
-1
-2
-3
Movimiento Browniano
Funciones ALEATORIO()
DISTR.NORM.ESTAND.INV()
DISTR.NORM.ESTAND.INV(ALEATORIO())
Ecuacion 𝑊(𝑡)=𝑊(𝑡−1)+(𝑊(𝑡)−𝑊(𝑡−1))
𝑊(0)=0
Delta t 𝑑𝑡=0,01
√𝑑𝑡=0,1
Ecuación 𝑆(𝑡)=𝑆(0)+𝑆(0)𝜇𝑑𝑡+𝑆(0)𝜎𝑑𝑊(𝑡)
Tendencia 𝜇
Volatilidad 𝜎
RMSE
Traj
Traj
Traj
Traj
Traj
Traj
0.01 Traj
0.1 Traj
Traj
Traj
dWt
-0.002172812376392 Traj
0.013679541950592 Traj
Traj
Traj
Traj
Traj
Traj
Traj
Traj
Traj
𝑆(𝑡)
Traj
Traj
Traj
Traj
Traj
Traj
Traj
Traj
Traj
Traj
RMSE
Trajectorias
Precios Valor Esperado Diferencia D^2 1 2 3
$ 3,377.72 $ 3,377.72 $ 3,377.72 $ 3,377.72
$ 3,377.79 $ 3,379.67 -$ 1.88 $ 3.52 $ 3,373.90 $ 3,381.12 $ 3,381.73
$ 3,380.92 $ 3,379.74 $ 1.18 $ 1.40 $ 3,373.97 $ 3,381.19 $ 3,381.80
$ 3,364.43 $ 3,382.87 -$ 18.44 $ 340.00 $ 3,377.09 $ 3,384.32 $ 3,384.93
$ 3,356.15 $ 3,366.37 -$ 10.22 $ 104.44 $ 3,360.62 $ 3,367.81 $ 3,368.42
$ 3,359.20 $ 3,358.08 $ 1.12 $ 1.24 $ 3,352.35 $ 3,359.53 $ 3,360.13
$ 3,372.48 $ 3,361.14 $ 11.34 $ 128.67 $ 3,355.40 $ 3,362.58 $ 3,363.19
$ 3,373.75 $ 3,374.42 -$ 0.67 $ 0.45 $ 3,368.66 $ 3,375.87 $ 3,376.48
$ 3,368.80 $ 3,375.70 -$ 6.90 $ 47.54 $ 3,369.93 $ 3,377.14 $ 3,377.76
$ 3,361.70 $ 3,370.74 -$ 9.04 $ 81.76 $ 3,364.99 $ 3,372.19 $ 3,372.80
$ 3,377.39 $ 3,363.64 $ 13.75 $ 189.12 $ 3,357.89 $ 3,365.08 $ 3,365.69
$ 3,401.04 $ 3,379.34 $ 21.70 $ 471.02 $ 3,373.57 $ 3,380.79 $ 3,381.40
$ 3,438.61 $ 3,403.00 $ 35.61 $ 1,268.02 $ 3,397.19 $ 3,404.46 $ 3,405.08
$ 3,427.29 $ 3,440.59 -$ 13.30 $ 176.95 $ 3,434.72 $ 3,442.07 $ 3,442.69
$ 3,427.29 $ 3,429.27 -$ 1.98 $ 3.90 $ 3,423.41 $ 3,430.74 $ 3,431.36
$ 3,464.15 $ 3,429.27 $ 34.88 $ 1,216.90 $ 3,423.41 $ 3,430.74 $ 3,431.36
$ 3,477.53 $ 3,466.15 $ 11.38 $ 129.57 $ 3,460.23 $ 3,467.63 $ 3,468.26
$ 3,457.89 $ 3,479.53 -$ 21.64 $ 468.50 $ 3,473.59 $ 3,481.03 $ 3,481.66
$ 3,432.85 $ 3,459.88 -$ 27.03 $ 730.81 $ 3,453.97 $ 3,461.37 $ 3,462.00
$ 3,399.95 $ 3,434.83 -$ 34.88 $ 1,216.55 $ 3,428.96 $ 3,436.30 $ 3,436.93
$ 3,376.99 $ 3,401.91 -$ 24.92 $ 621.01 $ 3,396.10 $ 3,403.37 $ 3,403.99
$ 3,385.28 $ 3,378.94 $ 6.34 $ 40.24 $ 3,373.17 $ 3,380.39 $ 3,381.00
$ 3,420.99 $ 3,387.23 $ 33.76 $ 1,139.63 $ 3,381.45 $ 3,388.69 $ 3,389.30
$ 3,441.40 $ 3,422.96 $ 18.44 $ 339.95 $ 3,417.12 $ 3,424.43 $ 3,425.05
$ 3,441.40 $ 3,443.38 -$ 1.98 $ 3.94 $ 3,437.50 $ 3,444.86 $ 3,445.49
$ 3,447.76 $ 3,443.38 $ 4.38 $ 19.15 $ 3,437.50 $ 3,444.86 $ 3,445.49
$ 3,449.27 $ 3,449.75 -$ 0.48 $ 0.23 $ 3,443.86 $ 3,451.23 $ 3,451.85
$ 3,407.76 $ 3,451.26 -$ 43.50 $ 1,892.12 $ 3,445.36 $ 3,452.74 $ 3,453.36
$ 3,436.26 $ 3,409.72 $ 26.54 $ 704.13 $ 3,403.90 $ 3,411.19 $ 3,411.81
$ 3,382.71 $ 3,438.24 -$ 55.53 $ 3,083.70 $ 3,432.37 $ 3,439.72 $ 3,440.34
$ 3,394.61 $ 3,384.66 $ 9.95 $ 99.00 $ 3,378.88 $ 3,386.11 $ 3,386.73
$ 3,431.28 $ 3,396.57 $ 34.71 $ 1,204.99 $ 3,390.77 $ 3,398.02 $ 3,398.64
$ 3,431.28 $ 3,433.26 -$ 1.98 $ 3.91 $ 3,427.39 $ 3,434.73 $ 3,435.35
$ 3,459.47 $ 3,433.26 $ 26.21 $ 687.06 $ 3,427.39 $ 3,434.73 $ 3,435.35
$ 3,365.78 $ 3,461.46 -$ 95.68 $ 9,155.51 $ 3,455.55 $ 3,462.95 $ 3,463.58
$ 3,329.23 $ 3,367.72 -$ 38.49 $ 1,481.51 $ 3,361.97 $ 3,369.17 $ 3,369.78
$ 3,291.79 $ 3,331.15 -$ 39.36 $ 1,549.16 $ 3,325.46 $ 3,332.58 $ 3,333.18
$ 3,296.85 $ 3,293.69 $ 3.16 $ 10.00 $ 3,288.06 $ 3,295.10 $ 3,295.70
$ 3,262.81 $ 3,298.75 -$ 35.94 $ 1,291.73 $ 3,293.12 $ 3,300.17 $ 3,300.76
$ 3,233.26 $ 3,264.69 -$ 31.43 $ 987.91 $ 3,259.12 $ 3,266.09 $ 3,266.68
$ 3,213.09 $ 3,235.12 -$ 22.03 $ 485.50 $ 3,229.60 $ 3,236.51 $ 3,237.10
28.009258882488 pesos
0.06 0.07 0.08 0.09 0.10 0.11 0.12 0.13
t6 t7 t8 t9 t10 t11 t12 t13
0.343 0.340 0.447 0.260 0.295 0.143 0.188 0.079
-0.184 -0.088 -0.230 -0.177 -0.216 -0.204 -0.248 -0.188
0.226 0.312 0.395 0.377 0.229 0.344 0.248 0.157
0.100 0.129 0.083 0.201 0.198 0.305 0.436 0.429
0.067 -0.064 -0.238 -0.204 -0.158 -0.155 -0.193 -0.072
0.033 0.014 -0.018 -0.056 -0.075 -0.045 -0.023 0.043
-0.593 -0.537 -0.560 -0.525 -0.367 -0.281 -0.340 -0.435
-0.128 -0.228 -0.245 -0.284 -0.219 -0.295 -0.308 -0.168
-0.161 -0.065 0.052 0.068 0.069 0.050 0.106 0.047
-0.496 -0.538 -0.634 -0.689 -0.576 -0.623 -0.528 -0.618
4 5 6 7 8 9 10
$ 3,377.72 $ 3,377.72 $ 3,377.72 $ 3,377.72 $ 3,377.72 $ 3,377.72 $ 3,377.72
$ 3,376.71 $ 3,387.26 $ 3,377.12 $ 3,382.21 $ 3,379.74 $ 3,378.64 $ 3,378.25
$ 3,376.78 $ 3,387.33 $ 3,377.19 $ 3,382.28 $ 3,379.81 $ 3,378.71 $ 3,378.32
$ 3,379.91 $ 3,390.47 $ 3,380.32 $ 3,385.41 $ 3,382.94 $ 3,381.85 $ 3,381.45
$ 3,363.42 $ 3,373.93 $ 3,363.83 $ 3,368.90 $ 3,366.44 $ 3,365.35 $ 3,364.96
$ 3,355.15 $ 3,365.63 $ 3,355.56 $ 3,360.61 $ 3,358.15 $ 3,357.07 $ 3,356.68
$ 3,358.20 $ 3,368.69 $ 3,358.60 $ 3,363.66 $ 3,361.20 $ 3,360.12 $ 3,359.73
$ 3,371.47 $ 3,382.00 $ 3,371.88 $ 3,376.96 $ 3,374.49 $ 3,373.40 $ 3,373.01
$ 3,372.74 $ 3,383.28 $ 3,373.15 $ 3,378.23 $ 3,375.76 $ 3,374.67 $ 3,374.28
$ 3,367.79 $ 3,378.31 $ 3,368.20 $ 3,373.28 $ 3,370.81 $ 3,369.72 $ 3,369.33
$ 3,360.70 $ 3,371.19 $ 3,361.10 $ 3,366.17 $ 3,363.71 $ 3,362.62 $ 3,362.23
$ 3,376.38 $ 3,386.93 $ 3,376.79 $ 3,381.88 $ 3,379.40 $ 3,378.31 $ 3,377.92
$ 3,400.02 $ 3,410.64 $ 3,400.44 $ 3,405.56 $ 3,403.07 $ 3,401.97 $ 3,401.58
$ 3,437.58 $ 3,448.32 $ 3,438.00 $ 3,443.18 $ 3,440.66 $ 3,439.55 $ 3,439.15
$ 3,426.27 $ 3,436.97 $ 3,426.68 $ 3,431.84 $ 3,429.33 $ 3,428.23 $ 3,427.83
$ 3,426.27 $ 3,436.97 $ 3,426.68 $ 3,431.84 $ 3,429.33 $ 3,428.23 $ 3,427.83
$ 3,463.11 $ 3,473.93 $ 3,463.54 $ 3,468.75 $ 3,466.22 $ 3,465.10 $ 3,464.70
$ 3,476.49 $ 3,487.35 $ 3,476.91 $ 3,482.15 $ 3,479.60 $ 3,478.48 $ 3,478.08
$ 3,456.86 $ 3,467.65 $ 3,457.28 $ 3,462.48 $ 3,459.95 $ 3,458.84 $ 3,458.43
$ 3,431.82 $ 3,442.54 $ 3,432.24 $ 3,437.41 $ 3,434.90 $ 3,433.79 $ 3,433.39
$ 3,398.93 $ 3,409.55 $ 3,399.35 $ 3,404.47 $ 3,401.98 $ 3,400.88 $ 3,400.49
$ 3,375.98 $ 3,386.53 $ 3,376.39 $ 3,381.48 $ 3,379.00 $ 3,377.91 $ 3,377.52
$ 3,384.27 $ 3,394.84 $ 3,384.68 $ 3,389.78 $ 3,387.30 $ 3,386.21 $ 3,385.81
$ 3,419.97 $ 3,430.65 $ 3,420.38 $ 3,425.54 $ 3,423.03 $ 3,421.93 $ 3,421.53
$ 3,440.37 $ 3,451.12 $ 3,440.79 $ 3,445.97 $ 3,443.45 $ 3,442.34 $ 3,441.94
$ 3,440.37 $ 3,451.12 $ 3,440.79 $ 3,445.97 $ 3,443.45 $ 3,442.34 $ 3,441.94
$ 3,446.73 $ 3,457.50 $ 3,447.15 $ 3,452.34 $ 3,449.82 $ 3,448.70 $ 3,448.30
$ 3,448.24 $ 3,459.01 $ 3,448.66 $ 3,453.85 $ 3,451.33 $ 3,450.21 $ 3,449.81
$ 3,406.74 $ 3,417.38 $ 3,407.16 $ 3,412.29 $ 3,409.79 $ 3,408.69 $ 3,408.30
$ 3,435.23 $ 3,445.96 $ 3,435.65 $ 3,440.83 $ 3,438.31 $ 3,437.20 $ 3,436.80
$ 3,381.70 $ 3,392.26 $ 3,382.11 $ 3,387.20 $ 3,384.73 $ 3,383.64 $ 3,383.24
$ 3,393.60 $ 3,404.20 $ 3,394.01 $ 3,399.12 $ 3,396.64 $ 3,395.54 $ 3,395.14
$ 3,430.25 $ 3,440.97 $ 3,430.67 $ 3,435.84 $ 3,433.33 $ 3,432.22 $ 3,431.82
$ 3,430.25 $ 3,440.97 $ 3,430.67 $ 3,435.84 $ 3,433.33 $ 3,432.22 $ 3,431.82
$ 3,458.44 $ 3,469.24 $ 3,458.86 $ 3,464.07 $ 3,461.53 $ 3,460.42 $ 3,460.01
$ 3,364.77 $ 3,375.28 $ 3,365.18 $ 3,370.25 $ 3,367.79 $ 3,366.70 $ 3,366.31
$ 3,328.23 $ 3,338.63 $ 3,328.64 $ 3,333.65 $ 3,331.22 $ 3,330.14 $ 3,329.75
$ 3,290.81 $ 3,301.08 $ 3,291.21 $ 3,296.16 $ 3,293.75 $ 3,292.69 $ 3,292.31
$ 3,295.86 $ 3,306.16 $ 3,296.27 $ 3,301.23 $ 3,298.82 $ 3,297.75 $ 3,297.37
$ 3,261.83 $ 3,272.02 $ 3,262.23 $ 3,267.15 $ 3,264.76 $ 3,263.70 $ 3,263.32
$ 3,232.29 $ 3,242.39 $ 3,232.69 $ 3,237.56 $ 3,235.19 $ 3,234.15 $ 3,233.77
0.14 0.15 0.16 0.17 0.18 0.19 0.20 0.21
t14 t15 t16 t17 t18 t19 t20 t21
-0.064 -0.111 -0.051 -0.199 -0.283 -0.289 -0.260 -0.216
-0.295 -0.281 -0.302 -0.205 -0.468 -0.500 -0.418 -0.440
0.030 0.086 0.097 -0.126 -0.188 -0.235 -0.273 -0.314
0.513 0.495 0.415 0.228 0.203 0.262 0.276 0.259
-0.239 -0.105 -0.201 -0.306 -0.241 -0.149 -0.158 -0.301
-0.049 -0.093 -0.223 -0.364 -0.291 -0.347 -0.433 -0.411
-0.448 -0.508 -0.406 -0.495 -0.575 -0.504 -0.543 -0.734
-0.105 -0.197 -0.087 -0.081 -0.033 -0.040 -0.036 -0.096
-0.006 -0.007 0.111 0.186 0.012 0.083 0.009 0.248
-0.528 -0.610 -0.556 -0.299 -0.267 -0.330 -0.258 -0.437
0.3
0.2
0.1
0
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99
-0.1
-0.2
-0.3
-0.4
Pronóstico
3,700
3,600
3,500
3,400
3,300
3,200
3,100
3,000
2,900
2,800
2,700
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 101
3500
3450
3400
3350
3300
3250
3200
3150
3100
3050
3000
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 101
Ecuacion Call
R EA 4.60%
R Semanal 0.09%
𝑑_2=(log(𝑆/𝐾)+[𝑟−𝜎^2/2]𝑡)/(𝜎√𝑡)
Volatilidad Tiempo
0.00611768 diaria
𝑑_2=𝑑_1−σ√𝑡 0.01367954 Semanal
0.02735908 Mensual
𝑉(𝑆,𝑡)=𝐾𝑒^(−𝑟𝑡) 𝑁(−𝑑2)−𝑆𝑁(−𝑑1)
d1 1.13387231 1.46574226 0 3087.34
d2 1.10651323 1.43838318
Precio Strike 2900
Call Put
N(d1) 0.87157594 0.07135926 R EA 4.60%
N(d2) 0.86574778 0.07516268 R Semanal 0.09%
Diario 0.012%
Call Put
N(d1) 0.86377716 0.07645646
N(d2) 0.85771032 0.08046379
Call 185.53628
Put -8.09239354