PL EN


2008 | 3(39) | 189-198
Article title

SOME ASPECTS OF DEBT SECURITIES VALUATION IN DISCRETE TIME

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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.
Year
Issue
Pages
189-198
Physical description
Document type
ARTICLE
Contributors
  • Andrzej Karpio, Szkola Gl√≥wna Gospodarstwa Wiejskiego, ul Nowoursynowska 166, 02-787 Warszawa, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
09PLAAAA066213
YADDA identifier
bwmeta1.element.58b290f5-3903-3339-bdd9-2eca52c6c26c
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