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GIC Pricing Model
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Derivative securities--Valuation
- Item Type:
- Essay
- Tag(s):
- GIC, valuation model
- Permanent URL:
- https://doi.org/10.17613/dz0p-gk87
- Abstract:
- The payoff at maturity from a GIC can be shown equal to the invested principal plus principal times the sum of the minimum guaranteed interest rate and the payoff from a European call option on the arithmetic average of the basket price, where the basket price is given by a weighted sum of the index levels.
- Notes:
- https://finpricing.com/lib/EqConvertible.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 7 months ago
- License:
- Attribution
gicpricing.pdf