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The Role of Jumps and Options in the Risk Premia of Interest Rates
(Sociedade Brasileira de Econometria, 2019)
Option pricing, stochastic volatility, singular dynamics and constrained path integrals
(Elsevier, 2014)
Stochastic volatility models have been widely studied and used in the financial world. The
Heston model (Heston, 1993) [7] is one of the best known models to deal with this issue.
These stochastic volatility models are ...
Pricing the option adjust spread of Brazilian Eurobonds
(Escola de Pós-Graduação em Economia da FGV, 1997-03-20)
This paper presents results of a pricing system to compute the option adjusted spread ('DAS') of Eurobonds issued by Brazilian firms. The system computes the 'DAS' over US treasury rates taktng imo account the embedded ...
Optimal exploration investments under price and geological-technical uncertainty: a real options model
(WILEY, 2001)
This article develops a real options model for valuing natural resource exploration investments (e,g, oil or copper) when there is joint price and geological-technical uncertainty. After a successful several-stage exploration ...
Pricing options embedded in debentures with credit risk
(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 ...
Estimating the volatility of mining projects considering price and operating cost uncertainties
(Elsevier Sci LtdOxfordInglaterra, 2006)
Jump Telegraph-Diffusion Option Pricing
The paper develops a class of financial market models with jumps based on aBrownian motion, and inhomogeneous telegraph processes: random motions withalternating velocities. We assume that jumps occur when the velocities ...
The impacts of carbon sequestration on oil production projects Decision-Making: a real option valuation approach
(David Publishing, 2014-01-31)