Evaluating callable and putable bonds : an eigenfunction expansion approach
Dongjae Lim; Lingfei Li; Vadim Linetsky
| Year of publication: |
2012
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|---|---|
| Authors: | Lim, Dongjae ; Li, Lingfei ; Linetsky, Vadim |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 36.2012, 12, p. 1888-1908
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| Subject: | Interest rate models | Callable bonds | Options embedded in bonds | Optimal stopping | Stochastic games | Eigenfunction expansions | Option pricing | Stochastic time changes | Optionspreistheorie | Option pricing theory | Anleihe | Bond | Zinsstruktur | Yield curve | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Zinsderivat | Interest rate derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009701917