Main category
Economics (General Management)
Abstract
The payoff at maturity from a GIC can be shown equal to the invested principal plus this 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.
Further reading
https://ia601507.us.archive.org/23/items/gicPricing/gicPricing.pdf
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