Valuation of Debt Indexed to Real Values I - The Case of the Argentinean Growth Coupon: A Simple Mode
CEIF-UCEMA Working Paper No. 307
38 Pages Posted: 27 Aug 2007
Date Written: November 2005
This paper is the first of a series of works whose aim is trying to provide a framework for the understanding and valuation of debt indexed to real (generally non-tradable) variables. In particular, in the present paper we develop a methodology to analytically value the new GDP-linked Argentinean warrant.
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