Autocall structured products: a case study of Vale S.A. Online publication date: Sat, 30-Aug-2014
by Paulo Vitor Jordão Da Gama Silva; Antonio Carlos Figueiredo Pinto; Marcelo Cabus Klotzle
International Journal of Financial Markets and Derivatives (IJFMD), Vol. 3, No. 1, 2012
Abstract: 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 conditions, and which was modified to calculate present value. This model was shown to be practical and agile for processing the database and handling considerably volatile scenarios and was also validated by the product's actual behaviour, revealing that the product was not financially attractive for maintaining an autocall operation strategy (achieve a gain with the product maturing in the short term and switch to similar products). The aim of this article is to show a new pricing method involving autocall structured products with functioning typologies similar to those of the issue analysed in the present study.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Financial Markets and Derivatives (IJFMD):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com
Our Blog 
Follow us on Twitter 
Visit us on Facebook