Teoria de opções aplicada ao apreçamento de linhas de crédito contingentes
AUTOR(ES)
Angela Maciel Aranha
DATA DE PUBLICAÇÃO
2007
RESUMO
Contingent Credit Lines are a promising source of funding for corporate segment in Brazilian money market as an alternative to traditional loans and hedge. Careful pricing and managing of these financial tools are in place (much the same happens in the international arena). Here, CCL are presented as options, guided by the article of Lokoianova, Neftci, and Sharma (2007), hereafter named LNS. We test LNS model response to the parameters of the mean reverting stochastic process of the risk-free rate, adding to a deeper understanding of CCL pricing, hence, to the best of my knowledge, these parameters effects were not yet studied. In particular, two parameters were tested: the long average rate and the mean reverting speed ß.
ASSUNTO(S)
economia black formulae martingales processo estocástico de reversão à média contingent credit lines, options modelo de mercado da libor simulações numéricas martingales mean reverting stochastic process numerical simulations opções. modelo de black libor market model linhas de crédito contingentes
