Retractable and Extendible Bonds: The Canadian Experience
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- Ben-Ameur, Hatem & Breton, Michele & Karoui, Lotfi & L'Ecuyer, Pierre, 2007. "A dynamic programming approach for pricing options embedded in bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2212-2233, July.
- Salih N. Neftci & Andre O Santos, 2003. "Puttable and Extendible Bonds; Developing Interest Rate Derivatives for Emerging Markets," IMF Working Papers 03/201, International Monetary Fund.
- Hatem Ben-Ameur & MichÃ¨le Breton, 2004. "A Dynamic Programming Approach for Pricing Options Embedded in Bonds," Computing in Economics and Finance 2004 237, Society for Computational Economics.
- Chateau, J.-P. & Wu, J., 2007. "Basel-2 capital adequacy: Computing the `fair' capital charge for loan commitment `true' credit risk," International Review of Financial Analysis, Elsevier, vol. 16(1), pages 1-21.
- Marco Realdon, "undated". "About Debt and the Option to Extend Debt Maturity," Discussion Papers 03/20, Department of Economics, University of York.
- Foad Shokrollahi, 2017. "Pricing compound and extendible options under mixed fractional Brownian motion with jumps," Papers 1708.04829, arXiv.org.
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