PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION

DOI10.1111/j.1467-9965.1996.tb00112.xzbMath0919.90006OpenAlexW2067677353MaRDI QIDQ4226855

Jörg Waldvogel, Hans-Jürg Büttler

Publication date: 26 May 1999

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00112.x

zbMATH Keywords

Green's functionclosed-form solutioncallable bondseries solution of the partial differential equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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• [https://portal.mardi4nfdi.de/wiki/Publication:5727059 Tables for the Evaluation of � ∞ 0 x β e -x f(x) dx by Gauss-Laguerre Quadrature]

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