LAUSR

Pricing and hedging GDP-linked bonds in incomplete markets

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1 Published in 2018 at "Journal of Economic Dynamics and Control"

DOI: 10.1016/j.jedc.2018.01.001

Abstract: Abstract We model the super-replication of payoffs linked to a country’s GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model… read more here.

Keywords: gdp linked; coupon; indexed bonds; coupon indexed ... See more keywords