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~person:"Lim, Dongjae"
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Lim, Dongjae
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Evaluating callable and putable bonds : an eigenfunction expansion approach
Lim, Dongjae
;
Li, Lingfei
;
Linetsky, Vadim
- In:
Journal of economic dynamics & control
36
(
2012
)
12
,
pp. 1888-1908
Persistent link: https://www.econbiz.de/10009701917
Saved in:
2
Evaluating callable and putable bonds: An eigenfunction expansion approach
Lim, Dongjae
;
Li, Lingfei
;
Linetsky, Vadim
- In:
Journal of Economic Dynamics and Control
36
(
2012
)
12
,
pp. 1888-1908
We propose an efficient method to evaluate callable and putable bonds under a wide class of
interest
rate
models
…
Persistent link: https://www.econbiz.de/10010580804
Saved in:
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