A Reduced-Form Model for Valuing Bonds with Make-Whole Call Provisions

DOI10.1080/1350486X.2015.1095643MaRDI QIDQ4682491zbMATH OpenOpenAlexFDO

Authors

Publication date 18 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2015.1095643

zbMATH Keywords

callable bondsmake-whole call provisionreduced-form model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(1)

• A model for designing callable bonds and its solution using tabu search

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