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FDM 1 VALE 1 Vale S.A. 1 autocall structured products 1 coupon barrier note issue 1 financial derivatives 1 finite difference method 1 modified trinomial tree 1 present value 1 pricing methods 1
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Klotzle, Marcelo Cabus 1 Pinto, Antonio Carlos Figueiredo 1 Silva, Paulo Vitor Jordão Da Gama 1
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International Journal of Financial Markets and Derivatives 1
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Autocall structured products: a case study of Vale S.A.
Silva, Paulo Vitor Jordão Da Gama; Pinto, Antonio … - In: International Journal of Financial Markets and Derivatives 3 (2012) 1, pp. 71-90
This article analyses the pricing, using autocall mechanisms, of a coupon barrier note issue based on ADRs of Brazil's biggest mining and metals company: Vale S.A. (VALE). The numerical method used was based on a modification of the trinomial tree model with auto-call, barrier and knock-in...
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