Evaluating callable and putable bonds: an eigenfunction expansion approach
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Publication:318869
DOI10.1016/j.jedc.2012.06.002zbMath1346.91236arXiv1206.5046OpenAlexW3122200511MaRDI QIDQ318869
Vadim Linetsky, Dongjae Lim, Lingfei Li
Publication date: 6 October 2016
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.5046
optimal stoppingoption pricingstochastic gameseigenfunction expansionsstochastic time changesinterest rate modelscallable bondsoptions embedded in bonds
Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)
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