THEORETICAL AND NUMERICAL VALUATION OF CALLABLE BONDS

Article OPEN
Dejun Xie;
(2009)
  • Journal: The International Journal of Business and Finance Research,volume 3,issue 2,pages71-82
  • Subject: Callable Bonds, optimal financial decision, stochastic model
    • jel: jel:D4 | jel:D46 | jel:G14 | jel:G15

This paper studies the value of a callable bond and the bond issuer’s optimal financial decision regarding whether to continue the investment on the market or call the bond. Assume the market investment return follows a stochastic model, the value of contract is formu... View more
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