Is there a Novelty Premiumon New Financial Instruments? : the Argentine Experience with Gdp-Indexed Warrants /
This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast assumptions....
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| Other Authors: | , |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2008.
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| Series: | IMF Working Papers ;
Working Paper no. 08/109. |
| Subjects: | |
| Online Access: |
Full text (Emmanuel users only) |
| Summary: | This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast assumptions. The results show that the residual premium paid by these warrants over standard bonds declined significantly by about 600 basis points between December 2005 and July 2007. This suggests that financial innovation may be associated with premia, which decay reasonably fast. |
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| Item Description: | Available in PDF, ePUB, and Mobi formats on the Internet. |
| Physical Description: | 1 online resource (40 pages). |
| ISBN: | 1451914237 9781451914238 |
| ISSN: | 2227-8885 ; |