Browsing FGV EESP - MPFE: Dissertações, Mestrado Profissional em Finanças e Economia by Title "Finding the option-implied country risk of Brazil"

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    • Finding the option-implied country risk of Brazil 

      Xavier, Ivan Savioli
      2021
      The theoretical models for option pricing need the assumption that the volatility for the underlying security is constant for a specific tenor. But, in the market, we see a different implied volatility for each Strike in ...