Valuing Coupon Bond Linked to Variable Interest Rate

The paper analyses coupon bonds linked to variable interest rate in a contingent claim approach such that it can be decomposed in elementary options on interest rate and options to default. It is considered the case of continuous arithmetic average of interest rate in a simple capitalization to value the variable coupon paid by the bonds at maturity. The paper determines the expected interest rate on the bonds and the risk spread due to the default risk.

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Year of publication:	2008
Authors:	Giandomenico, Rossano
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Contingent claim \| Asian option \| Stochastic continuous process

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008457190