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.