SOME ASPECTS OF DEBT SECURITIES VALUATION IN DISCRETE TIME

• Authors: Karpio Andrzej
• Languages of publication: EN

Abstracts

EN

The work concerns valuation of debt securities without many simplifying assumptions. For example, for coupon bonds we assume, that coupon periods are not equal and yield curve is not flat, pricing is accomplished with and without assumption about reinvestment of coupon payments. In practice, on capital market, coupon rates are linear function of forward rates, so some formulae for intrinsic value of bonds are given in this case and their properties are discussed.

Keywords

EN

DEBT SECURITIES' VALUATION

Discipline

• ECONOMICS: ECONOMICS

• Journal: Optimum. Studia Ekonomiczne
• Year: 2008
• Issue: 3(39)
• Pages: 189-198
• Document type: ARTICLE

Contributors

author

Karpio Andrzej

• Andrzej Karpio, Szkola Glówna Gospodarstwa Wiejskiego, ul Nowoursynowska 166, 02-787 Warszawa, Poland

Identifiers

CEJSH db identifier

09PLAAAA066213