Abstract

CAYON FALLON, Edgardo  and  SARMIENTO SABOGAL, Julio. A methodological approach for the valuation of callable bonds in emerging markets: the TGI example. Cuad. Adm. [online]. 2010, vol.23, n.40, pp.271-294. ISSN 0120-3592.

This article aims to shed light on the issues that stock brokers face upon implementing the binomial model when valuating corporate bonds with a multiple exercise option for the issuer. To that end, the proposed methodology is used to valuate this type of instrument in the company Transportadora de Gas del Interior Internacional Ltda. (TGI). In the specific case of TGI, it was found that the binomial model enables finding the value of the spread points that can be attributed to the option and that, employing that measure, the sole risk measure attributable to a specific corporate activity can be obtained.

Keywords : valuation; callable bonds; OAS; emerging markets.

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