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Are real options a real option for real-world finance professionals? Case study: the application of real options to evaluate investment projects in the latin american oil and gas field services industry
(2012-12-13)
Brazil and other emerging markets will continue to present many investment opportunities in the coming years. Finance professionals who manage the company’s capital budgeting processes will face challenges. Specific ...
Volatility timing: Pricing barrier options on DAX XETRA index
This paper analyses the impact of different volatility structures on a range of traditional option pricing models for the valuation of call down and out style barrier options. The construction of a Risk-Neutral Probability ...
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 ...
Messing about in transformations: structured systemic planning for systemic solutions to systemic problems
(Elsevier Science Bv, 2012-12-01)
The literature on multimethodology indicates that cognitive mapping is relevant to enriching the preliminary, information-gathering phase of Soft Systems Methodology (SSM), and especially the rich picture. By noting the ...
Essays on bivariate option pricing via copula and heteroscedasticity models: a classical and bayesian approach
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2019-02-15)
This dissertation is composed of two main and independents essays, but complementary. In the first one, we discuss the option price under a bayesian perspective. This essay aims to price and analyze the fair price behavior ...