Evgenidis, Anastasios; Siriopoulos, Costas - In: Journal of Risk Finance 15 (2014), pp. 234-247
Purpose – The purpose of this paper is to present an innovative model to evaluate the fair price of a subset of structured products for a hypothetical US structured bond. Design/methodology/approach –The authors assume that interest rates dynamics are described by the Cox–Ingersoll–Ross...