Analysis of the predictive capacity of the Black Scholes Model: A Colombian case of empirical evidence
DOI:
https://doi.org/10.21501/2500-669X.2472Keywords:
Stocks, forecast, Black Scholes Model, risk profit-earning capacity, capital marketAbstract
The purpose of this paper is to analyze the predictive capacity of the Black Scholes model, supported in the log-normal distribution, in the context of a quantitative and exploratory research applied to Colombian actions in the banking, cement, insurance, electric, oil, business and the Colcap capitalization index. Based on the performance, term and risk of the securities, the prices and the value of the capitalization index are estimated at a stock market year.The capital markets and, in particular, the stock market rests on the economic complexity of globalization and this is how uncertainty in macroeconomic variables translates into volatility in the prices of equity securities, leading to financial speculation from the part of the economic agents present in the markets.
To mitigate this volatility in prices and the impact on future returns, the market has different tools to estimate the future behavior of prices, one of them is implicit in the model Black-Scholes – MBS -, the Log-Normal distribution. The results obtained, in spite of the biases that may have the model and the asymmetric formation of prices by the policy of holding that predominates in the CSE (Colombian Stocks Exchange), show that the MBS, in the case of the Colcap, estimated a maximum value of 1.404.5 points against the spot of 1.417.5, that is, 99.1%. In the case of the oil action the prognosis, compared to the maximum achieved in the last year, was less than 8.4%.
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