Hernández, Rodrigo; Brusa, Jorge; Liu, Daniel Pu - In: International Journal of Financial Markets and Derivatives 3 (2012) 1, pp. 45-60
In this paper we make a survey of market-indexed CDs and list 11 factors that must be taken into account in the design of market-indexed CDs. We extend the pricing model developed by Hernandez et al. (2011), which was a non-coupon paying market-indexed CD model, into a model in which the...