Fiscal policy and futures contracts: The case of natural persons in Mexico (Monte Carlo simulation and binomial valuation)

  • Bernardo González Aréchiga-Ramírez Wiella Mercado Mexicano de Derivados, S.A. de C.V.
  • Jaime Díaz Tinoco Asigna, Compensación y Liquidación
  • Francisco Venegas Martínez Mercado Mexicano de Derivados, S.A. de C.V.
Keywords: tax rate, tax treatment, Monte Carlo simulation

Abstract

This paper determines the tax rate, withheld by the clearing member, on gains from listed futures that guarantees the same tax revenue as that of the current tax treatment of noncorporate individual investors residents in Mexico. The proposed tax policy reduces costs and improves market liquidity and efficiency. The paper develops two models to estimate de break-even tax: 1) a Monte Carlo simulation model, and 2) a binominal model of asset pricing. This work pays special attention to the robustness of the results by modifying the probabilistic assumptions and the values of the parameters.

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Published
01-01-2000
How to Cite
González Aréchiga-Ramírez WiellaB., Díaz TinocoJ., & Venegas MartínezF. (2000). Fiscal policy and futures contracts: The case of natural persons in Mexico (Monte Carlo simulation and binomial valuation). Estudios Económicos, 15(1), 3-36. https://doi.org/10.24201/ee.v15i1.221
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