Evaluation of Callable Bonds: Finite Difference Methods, Stability and Accuracy.

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Buttler, Hans-Jurg;
  • Journal: The Economic Journal,volume 105,issue 429 March,pages374-84

The purpose of this paper is to evaluate numerically the semi-American callable bond by means of finite difference methods. This study implies three results. First, the numerical error is greater for the callable bond price than for the straight bond price, and too larg... View more
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