Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito

Abstract

The aim of this paper is to approach the valuation of a particular type of structured products, which consist of zero-coupon debt securities, whose payment function is tied to the behavior of another variable. In the present case of study this variable is a stock index. The contribution is formed by the proposition of a formula or closed formed solution, under standards in derivative financial valuation of instruments and the existence of credit risk.