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An option pricing approach for sustainability-linked bonds

 The option pricing model for SLBs, developed by AFII, draws on a Black-Scholes approach, with KPIs linked to carbon emissions. Using case studies, we show that a lower cost-of-capital can be achieved by issuers that choose to introduce transparent and impactful targets.  


This is the revised version of our Mar-22 discussion paper.

    

(08 Nov 2022)


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