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

Abstract

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.

Suggested Citation

Pernice, Sergio and López Fagundez, Federico, Valuation of Debt Indexed to Real Values I - The Case of the Argentinean Growth Coupon: A Simple Mode (November 2005). CEIF-UCEMA Working Paper No. 307, Available at SSRN: https://ssrn.com/abstract=1009222 or http://dx.doi.org/10.2139/ssrn.1009222

Sergio Pernice (Contact Author)

University of CEMA ( email )

Department of Finance Cordoba 637 - Piso 3
1054 Buenos Aires
Argentina
4314-1304 (Phone)
4314-1654 (Fax)

Federico López Fagundez

Universidad del CEMA ( email )

1054 Buenos Aires
Argentina

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