How to Value GDP-Linked Collar Bonds? An Introductory Perspective

Christophe Schinckus

School of Management, University of Leicester, Leicester, UK.

DOI: 10.4236/tel.[phone]                

Abstract

This short paper proposed a pricing method for GDP-linked collar bonds based on the classical discounted pricing model and the assumption that the GDP can be described with a geometric Brownian motion. The estimation of parameters was not discussed because it is not central in our numerical exercise.

Keywords

GDP-Bonds; Economic Growth

Conflicts of Interest

The authors declare no conflicts of interest.

References

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