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Valuation of Debt Indexed to Real Values I. The case of the Argentinean Growth Coupon: a Simple Mode

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  • Sergio Pernice
  • Federico López Fagundez

Abstract

This paper is the first of a series of works whose aim is trying to provide a framework for the understanding and valuation of debt indexed to real (gener- ally non-tradable) variables. In particular, in the present paper we develop a methodology to analytically value the new GDP-linked Argentinean warrant.

Suggested Citation

  • Sergio Pernice & Federico López Fagundez, 2005. "Valuation of Debt Indexed to Real Values I. The case of the Argentinean Growth Coupon: a Simple Mode," CEMA Working Papers: Serie Documentos de Trabajo. 307, Universidad del CEMA.
    • Handle: RePEc:cem:doctra:307
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    References listed on IDEAS

    as
    1. Robert J. Barro, 1995. "Optimal Debt Management," NBER Working Papers 5327, National Bureau of Economic Research, Inc.
    2. Maurice Obstfeld & Giovanni Peri, 1998. "Regional non-adjustment and fiscal policy," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 13(26), pages 206-259.
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