Apreçamento de opções de recompra embutidasuma aplicação ao mercado de debêntures brasileiro

Resumo

In this work we develop a strategy to price embedded options. This kind of options exists in a large number of debentures in the Brazilian market. As this market presents a reduced number of assets, pricing the embedded options is necessary so as to increase the number of assets available to analysis. As an intermediary step, we need to know when is interesting to the issuer to call the debenture before the expiration date. With this intuit, we propose a methodology to estimate the term structure of the debentures market based on the model of Nelson-Siegel. As an exercise, we apply the proposed strategy to estimate the embedded option on the debenture TSPP22. We observed that the value of this option presented an ascendant behavior during the analyzed period. As matter of fact, this debenture was called by the issuer on February of 2011.

Ficha do documento

Tipo

Dissertação

Ano

2010

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/11107

Temas

Economia

Palavras-chave

Apreçamento de opções embutidasEstrutura a termo da taxa de juros no mercado de debêntures brasileiroPricing embedded optionsTerm structure of the brazilian debentures marketEconomiaDebênturesOpções (Finanças)Ações (Finanças) - Opções para compraTaxas de juros