A numerical PDE approach for pricing callable bonds

Applied Mathematical Finance

Volumn 8, Issue 1, 2001, Pages 49-77

  D'Halluin, Y ^a   Forsyth, P A ^a   Vetzal, K R ^a   Labahn, G ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Callable Bond; Discontinuity; Green'S Function; Numerical Pde

Indexed keywords

EID: 85066172091     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860110046885     Document Type: Article

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