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 |
|---|---|
| Autor principal: | |
| Formato: | Artículo |
| Publicado: |
Wiley-Blackwell
March 1995
|
| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |