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

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  • Jean-Paul Décamps

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.

Suggested Citation

  • Jean-Paul Décamps, 1993. "Valorisation de produits obligataires dans un modéle d'équilibre général en temps discret," Annals of Economics and Statistics, GENES, issue 31, pages 73-100.
    • Handle: RePEc:adr:anecst:y:1993:i:31:p:73-100
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