O. Ruban, Sh. Poon and K. Vonatsos, “GDP Linked Bonds: Contract Design and Pricing,” Working Paper, Manchester Business School, 2008.
has been cited by the following article:
TITLE: How to Value GDP-Linked Collar Bonds? An Introductory Perspective
AUTHORS: Christophe Schinckus
KEYWORDS: GDP-Bonds; Economic Growth
JOURNAL NAME: Theoretical Economics Letters, Vol.3 No.3, June 7, 2013
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.