On pricing of market-indexed certificates of deposit

A market-indexed certificate of deposit (MICD) entitles its holder, over the chosen length of maturity, to the greater of either a prespecified guaranteed return rate or to a fixed proportion of the increase, if any, on a broad-based stock index between commencement and maturity of the MICD. In the context of a market model for continuous trading we obtain the rational price of the MICD.

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Year of publication:	1989
Authors:	Gardiner, Joseph C. ; Levental, Shlomo
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 8.1989, 4, p. 329-334
Publisher:	Elsevier
Keywords:	arbitrage pricing contingent claim Ito's formula martingale trading strategy

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254327