-
GIC Pricing Model
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Item Type:
- Report
- Tag(s):
- Asset pricing, valuation model, GIC
- Permanent URL:
- https://doi.org/10.17613/pdyz-qx22
- Abstract:
- A Market Mix GIC is a type of guaranteed investment certificate, which offers a return based on a corresponding GIC rate and the performance of a basket of certain stock and bond market indices. The payoff at maturity from a Market Mix GIC can be shown equal to the invested principal plus this 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 above. In this report we considered the pricing of this call option.
- Notes:
- https://derivatives.hcommons.org/fixed-income-instruments/
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 1 month ago
- License:
- All-Rights-Granted
marketmixgicpricing.pdf