Theoretical Economics Letters
Volume 3, Issue 3 (June 2013)
ISSN Print: 2162-2078 ISSN Online: 2162-2086
Google-based Impact Factor: 1.34 Citations
How to Value GDP-Linked Collar Bonds? An Introductory Perspective ()
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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.
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