Evaluating callable and putable bonds: an eigenfunction expansion approach
type: Item
instance of: scholarly article
title: Evaluating callable and putable bonds: an eigenfunction expansion approach
zbMATH Open document ID: 1346.91236
author: Dongjae Lim
author: Lingfei Li
author: Vadim Linetsky
publication date: 2016-10-06T00:00:00Z
full work available at URL: https://arxiv.org/abs/1206.5046
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91A80
Mathematics Subject Classification ID: 91A15
zbMATH DE Number: 6633176
zbMATH Keywords: interest rate models
zbMATH Keywords: callable bonds
zbMATH Keywords: options embedded in bonds
zbMATH Keywords: optimal stopping
zbMATH Keywords: stochastic games
zbMATH Keywords: eigenfunction expansions
zbMATH Keywords: option pricing
zbMATH Keywords: stochastic time changes
MaRDI profile type: Publication
OpenAlex ID: W3122200511
arXiv ID: 1206.5046
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DOI: 10.1016/J.JEDC.2012.06.002
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6633176