1. UNA APLICACIÓN DE OPCIONES REALES A LA VALORACIÓN DE CONTRATOS DE LEASING.
- Author
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Arango, Mónica Andrea Arango, Arbeláez, Juan Camilo, and García, Catalina Causil
- Subjects
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AUTOMOBILE leasing & renting , *LEASE or buy decisions , *CORPORATE finance , *REAL options (Finance) , *RATE of return , *CONTRACTS & economics , *ECONOMICS - Abstract
This article is the result of a research that develops a model related to the determination of the rent on a leasing vehicle contract and the valuation of the call option that gives the lessee the right but not the obligation to buy the used car at the end of the contract at a specified price. We used models proposed by [1] and by [2] in three brands of vehicles in Colombia for the period between January of 2004 and December of 2007. The analysis of the time series of returns of the prices vehicles displayed an ARMA process. We also developed further tests to identify possible ARCH effects in the series of returns of prices of the vehicles analyzed. The estimation of the value of the option to purchase the vehicle at the end of the leasing contract is done by the implementation of the model of Black Scholes and Montecarlo Simulation. [ABSTRACT FROM AUTHOR]
- Published
- 2009