Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Author "Pereira, Leonardo Tavares"

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Apreçamento de opções de recompra embutidas: uma aplicação ao mercado de debêntures brasileiro

Pereira, Leonardo Tavares
2010-07-17

n this work we develop a strategy to price emb edded options. This kind of options exists in a large numb er of deb entures in the Brazilian market. As this market presents a reduced numb er of assets, pricing the emb edded ...
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 ...