Apreçamento de títulos conversíveis

Pinheiro, Dalton Santos

doi:10.11606/D.45.2009.tde-20230727-113646

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Master's Dissertation

DOI

https://doi.org/10.11606/D.45.2009.tde-20230727-113646

Document

Master's Dissertation

Author

Pinheiro, Dalton Santos (Catálogo USP)

Full name

Dalton Santos Pinheiro

E-mail

Institute/School/College

Instituto de Matemática e Estatística

Knowledge Area

Statistics

Date of Defense

2009-06-02

Published

São Paulo, 2009

Supervisor

Belitsky, Vladimir (Catálogo USP)

Title in Portuguese

Apreçamento de títulos conversíveis

Keywords in Portuguese

Análise De Risco
Risco

Abstract in Portuguese

Este trabalho tem por objetivo mostrar e demonstrar o funcionamento de uma fórmula de apreçamento de títulos conversíveis básicamente a fórmula é realizada através do pricípio de neutralidade ao risco.

Title in English

not available

Abstract in English

We present a detailed analysis of the valuation of a convertible bond via the risk neutral valuation principie. We discuss the assumptions that are necessary for the application of this principie to the convertible bond case. We also warn about pitfalls stemming from an inadequate employment of these assumptions.

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PinheiroDaltonSantos.pdf (1.67 Mbytes)

Publishing Date

2023-07-27

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