Commodity linked bonds have received considerable attention recently as a way to tailor a developing country's debt repayments to its ability to pay. This report presents a method for pricing commodity-linked bonds in the presence of default risk and a commodity price risk. The advantage of this method is that extensions are very simple. Following an introduction, in part 2 of the report a simple version of the bond is priced to make the process transparent...
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INFORMATION
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1988/12/31
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Document de travail de recherche sur les politiques
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WPS136
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1
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1
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2010/07/01
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Pricing commodity bonds using binomial option pricing
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bond
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