Valuation of sinking-fund bonds in the Vasicek and CIR frameworks*Financial support from Murst Fondo 40% on 'Modelli di struttura a termine dei tassi d'interesse' is gratefully acknowledged
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DOI: 10.1080/13504869600000013
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References listed on IDEAS
- Dunn, Kenneth B. & Spatt, Chester S., 1984. "A strategic analysis of sinking fund bonds," Journal of Financial Economics, Elsevier, vol. 13(3), pages 399-423, September.
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"Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation,"
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World Scientific Publishing Co. Pte. Ltd..
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
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- Ho, Thomas S Y & Lee, Sang-bin, 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
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- Marianito R. Rodrigo & Rogemar S. Mamon, 2014. "An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1961-1970, November.
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Keywords
sinking-fund bonds; delivery option; term structure models; Vasicek; CIR;All these keywords.
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