Valorisation de produits obligataires dans un modéle d'équilibre général en temps discret

Jean-Paul Décamps

Annals of Economics and Statistics, 1993, issue 31, 73-100

Abstract: A general equilibrium model is defined from the works of Lucas [1978] and Campbell [1986]. Within the framework of this model, we establish various explicit formulas for bond pricing: zero-coupon options, interest rate options, coupon bond options, floating rate coupon bonds. The formulas so obtained are related to the previous literature on bond pricing.

Date: 1993
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Working Paper: Valorisation de Produits Obligataires dans un Modèle d'Equilibre Général en Temps Discret (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1993:i:31:p:73-100

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