An application of the Black-Scholes-Merton (Osborne-Samuelson) Model to the Mexican Stock Exchange

• Published in: Aestimatio (Madrid) no. 8; p. 132
• Main Authors: Castañeda-Leyva, Netzahualcóyotl, Sáinz-Fernández, Manuel Delfino, Trejo-Pech, Carlos Omar
• Format: Journal Article
• Language: English
• Published: Madrid Instituto de Estudios Bursatiles 01.01.2014
• Subjects: Portfolio performance; Rates of return; Stock exchanges; Stock prices; Studies; Mexico

This paper contributes to a better understanding of the Mexican Stock Exchange (MSE) through an empirical application of the Black-Scholes-Merton and Vasicek models, complementing the limited literature related to modeling prices and portfolios of Mexican stocks. The models are used to estimate retu...