Advanced Search
MyIDEAS: Login

Effective duration for callable bonds

Contents:

Author Info

  • Jitka Řežábková
Registered author(s):

    Abstract

    A method of callable bonds pricing based on a binomial process is derived and the behaviour of this price when the yield curve changes is studied. The conclusion is that the effective duration corresponding to this pricing method may be a misguided characteristic, because the value of a callable bond need not be a smooth function of the change of the yield curve.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/86
    Download Restriction: no

    Bibliographic Info

    Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

    Volume (Year): 7 (2000)
    Issue (Month): 11 ()
    Pages:

    as in new window
    Handle: RePEc:czx:journl:v:7:y:2000:i:11:id:86

    Contact details of provider:
    Email:
    Web page: http://ces.utia.cas.cz
    More information through EDIRC

    Related research

    Keywords: callable bond; effective duration; present value; binomial process.;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:czx:journl:v:7:y:2000:i:11:id:86. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jozef Barunik).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.