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Valorisation de Produits Obligataires dans un Modèle d'Equilibre Général en Temps Discret

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  • Décamps, Jean-Paul

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.
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Suggested Citation

  • Décamps, Jean-Paul, 1992. "Valorisation de Produits Obligataires dans un Modèle d'Equilibre Général en Temps Discret," IDEI Working Papers 12, Institut d'Économie Industrielle (IDEI), Toulouse.
    • Handle: RePEc:ide:wpaper:4545
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