D'Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.; Labahn, G. - In: Applied Mathematical Finance 8 (2001) 1, pp. 49-77
Many debt issues contain an embedded call option that allows the issuer to redeem the bond at specified dates for a specified price. The issuer is typically required to provide advance notice of a decision to exercise this call option. The valuation of these contracts is an interesting numerical...