A numerical PDE approach for pricing callable bonds
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/13504860110046885
Reference31 articles.
1. General Solutions of Some Interest Rate-Contingent Claim Pricing Equations
2. The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options
3. Callable U.S. Treasury Bonds: Optimal Calls, Anomalies, and Implied Volatilities
4. Savings bonds, retractable bonds and callable bonds
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