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

¹ School of Management, University of Leicester, Leicester, UK

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 parameter s was not discussed because it i s not central in our numerical exercise.

KeywordsGDP-BondsEconomic Growth

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

Abstract

References (10)