• Tim Xiao deposited GIC Pricing Model in the group Group logo of Business ManagementBusiness Management on Humanities Commons 3 years, 5 months ago

    The payoff at maturity from a GIC can be shown equal to the invested principal plus 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.