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 ...

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 ...

Este artigo apresenta um modelo para determinação do passivo e do risco financeiro associado às opções implícitas atreladas a produtos de previdência complementar no Brasil (PGBL/VGBL). Propõe-se uma modelagem específica ...

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 ...

Object localization and tracking is essential for many practical applications, such as mancomputer interaction, security and surveillance, robot competitions, and Industry 4.0. Because of the large amount of data present ...

O funcionamento dos bancos comerciais implica no sucesso de suas estratégias de captação de depósitos a prazo. O Certificado de Depósito Bancário (CDB) é um dos instrumentos mais utilizados para este fim. 95% dos CDBs são ...

The results are reported from the evaluation of corrosion rate of galvanized steel embedded in concrete specimens contaminated with different concentrations of NaCl and exposed to a simulated marine environment for a period ...

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 ...

In the last twenty years a large number of competitive ethanol rms have estab- lished operations in the US. Ethanol, produced from corn, is blended with pure gasoline to produce fuel. Producers hold an option to turn o ...