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Valuing Euro Rating-Triggered Step-Up Telecom Bonds

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Author Info
Patrick Houweling () (Faculty of Economics, Erasmus University Rotterdam)
Albert Mentink () (Erasmus University Rotterdam, and Aegon Asset Management)
Ton Vorst () (VU University Amsterdam)

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Abstract

We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando and

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File URL: http://www.tinbergen.nl/discussionpapers/03028.pdf
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Publisher Info
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 03-028/2.

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Date of creation: 02 Apr 2003
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Handle: RePEc:dgr:uvatin:20030028

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Web page: http://www.tinbergen.nl/

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Related research
Keywords: step-up bonds; Jarrow-Lando-Turnbull model; rating-based reduced form model; transition probabilities.;

Other versions of this item:

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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This page was last updated on 2009-12-10.

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