• GIC Pricing Model

    Author(s):
    David Lee (see profile)
    Date:
    2023
    Group(s):
    Business Management
    Item Type:
    Report
    Tag(s):
    Asset pricing, valuation model, GIC
    Permanent URL:
    https://doi.org/10.17613/pdyz-qx22
    Abstract:
    A Market Mix GIC is a type of guaranteed investment certificate, which offers a return based on a corresponding GIC rate and the performance of a basket of certain stock and bond market indices. The payoff at maturity from a Market Mix GIC can be shown equal to the invested principal plus this principal times the sum of the minimum guaranteed interest rate and the payoff from a European call option on the arithmetic average of the basket price, where the basket price is given by a weighted sum of the index levels above. In this report we considered the pricing of this call option.
    Notes:
    https://derivatives.hcommons.org/fixed-income-instruments/
    Metadata:
    Status:
    Published
    Last Updated:
    4 months ago
    License:
    All-Rights-Granted

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