Call Features and Term to Maturity of Callable Foreign Bonds.

This paper models the value of "embedded" options in foreign bonds, using stochastic calculus, by assuming that the exchange rate follows a geometric Brownian motion process and the arrival time of an early redemption of the bond by the issuer conforms to a negative exponential distribution. The solution to the stochastic model shows that there is a relationship between the call premium and the expected time to the call.

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Year of publication:	1996
Authors:	Hooper, V. ; Pointon, J.
Institutions:	Research School of Pacific and Asian Studies, College of Asia and the Pacific
Subject:	FINANCIAL MARKET \| BONDS \| INTERNATIONAL FINANCE

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Series:	Australian National University - Department of Economics.
Type of publication:	Book / Working Paper
Notes:	10 pages
Classification:	G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G15 - International Financial Markets ; G19 - General Financial Markets. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005630822