Now showing items 1-2 of 2

    • Pricing options embedded in debentures with credit risk 

      Almeida, Caio Ibsen Rodrigues de; Pereira, Leonardo Tavares
      2015
      In this article, we develop a strategy to simultaneously extract a yield curve and price call options embedded in debentures subject to credit risk. The implementation is based on a combination of two methods: term structure ...
    • Pricing options embedded in debentures with credit risk 

      Almeida, Caio Ibsen Rodrigues de; Pereira, Leonardo Tavares
      2016-03-10
      In this article, we develop a strategy to simultaneously extract a yield curve and price call options embedded in debentures subject to credit risk. The implementation is based on a combination of two methods: term structure ...