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| Author: | Jacob, D. P. Lord, G. Tilley, J. A. |
| Title: | A generalized framework for pricing contingent cash flows. |
| Journal: | Financial Management
1987 : AUTUMN, VOL. 16:3, p. 5-14 |
| Index terms: | FINANCIAL MANAGEMENT CONTINGENCY PLANNING CASH FLOW PRICING |
| Language: | eng |
| Abstract: | This paper develops a methodology permitting financial managers and corporate debt issuers to accurately value a stream of contingent cash flows or claims that depend on the history and current levels of interest rates. The theory corrects the weaknesses in previously advanced models. The paper details the application of the methodology to the analysis and pricing of GNMA-s. |
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