Evaluation of callable bonds: finite difference methods, stability and accuracy.
A study was conducted to evaluate numerically the semi-American callable bond by means of finite difference methods. A callable bond is a bond that allows the debtor to buy back or to “call” the bond for a specified amount, the call price, plus the accrued interest since the last coupon date at som...
| Publicado en: | Economic Journal Vol. 105; pp. 374 - 385 |
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| Formato: | Artículo |
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Wiley-Blackwell
March 1995
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=512590037&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 512590037 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00130133 EJN jtl: Economic Journal issn: 00130133 maglogo: N pubinfo: dt: March 1995 vid: 105 pid: 480 pub: Wiley-Blackwell artinfo: ui: 512590037 10.2307/2235497 ppf: 374 ppct: 11 formats: tig: atl: Evaluation of callable bonds: finite difference methods, stability and accuracy. aug: au: Büttler, Hans-Jürg su: Mathematical models Bond prices sug: subj: Mathematical models Bond prices ab: A study was conducted to evaluate numerically the semi-American callable bond by means of finite difference methods. A callable bond is a bond that allows the debtor to buy back or to “call” the bond for a specified amount, the call price, plus the accrued interest since the last coupon date at some time, the call date, during the life of the bond. The findings reveal that the numerical error is greater for the callable bond price than for the straight bond price and too large for real applications. The numerical accuracy of the callable bond price computed for the relevant range of interest rates depends entirely on the finite difference scheme that is selected for the boundary points. In addition, the boundary scheme that yields the smallest numerical error with regard to the straight bond does not perform best with regard to the callable bond. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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