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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
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Option bonds and second order arbitrage opportunities
Huang, James (contributor) - 2004
Persistent link: https://www.econbiz.de/10002625372
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Modelling callable annuity bonds with interest-only optionality
Holst, Anders (contributor); Nalholm, Morten (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002378727
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Defaultable bonds as Asian options
Buffet, Emmanuel - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 571
Persistent link: https://www.econbiz.de/10001524455
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Investor Reactions to CEOs’ Inside Debt Incentives
Wei, Chenyang (Jason) - 2011
that bond prices rise, equity prices fall, and the volatility of both securities drops for firms whose CEOs have sizeable …
Persistent link: https://www.econbiz.de/10013133562
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Investor Reactions to CEOs’ Inside Debt Incentives
Wei, Chenyang (Jason) - 2011
that bond prices rise, equity prices fall, and the volatility of both securities drops for firms whose CEOs have sizeable …
Persistent link: https://www.econbiz.de/10013134104
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The Valuation of Callable Bonds with Floored CMS-Spread Coupons
Jørgensen, Peter Løchte - 2012
A new type of structured bond has recently been introduced with enormous success–primarily among private investors … or near zero, and the bond investment can thus be seen as a bet on the steepening of future term structure curves …
Persistent link: https://www.econbiz.de/10013097039
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Hedging of a Portfolio of Rainfall Insurances using Rainfall Bonds and European Call Options (Bull Spread)
Shah, Anand - 2017
insurances for two crops in three districts each. We then estimate the parameters of rainfall bond and rainfall call option with …
Persistent link: https://www.econbiz.de/10012969306
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Bias correction for bond option greeks via jackknife
Zhang, Jinyu; Gao, Kang; Li, Yong - In: The journal of derivatives : JOD 28 (2021) 4, pp. 45-63
Persistent link: https://www.econbiz.de/10012612919
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Valuation of callable/putable corporate bonds in a one-factor lognormal interest-rate model
Goldberg, Robert S.; Ronn, Ehud I.; Xu, Liying - In: The journal of fixed income : JFI 31 (2021) 1, pp. 80-95
Persistent link: https://www.econbiz.de/10012613114