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The Survival Zone For A Bond With Both Call And Put Options Embedded

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  • Spiros H. Martzoukos
  • Theodore M. Barnhill Jr.

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  • Spiros H. Martzoukos & Theodore M. Barnhill Jr., 1998. "The Survival Zone For A Bond With Both Call And Put Options Embedded," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 419-430, December.
    • Handle: RePEc:bla:jfnres:v:21:y:1998:i:4:p:419-430
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1998.tb00695.x
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    References listed on IDEAS

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    1. Chan, K C, et al, 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
    2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    3. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
    4. Brennan, Michael J. & Schwartz, Eduardo S., 1977. "Savings bonds, retractable bonds and callable bonds," Journal of Financial Economics, Elsevier, vol. 5(1), pages 67-88, August.
    5. Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-209, March.
    6. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    7. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
    8. David C. Mauer, 1993. "Optimal Bond Call Policies Under Transactions Costs," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(1), pages 23-37, March.
    9. Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
    10. Courtadon, Georges, 1982. "The Pricing of Options on Default-Free Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(1), pages 75-100, March.
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    Cited by:

    1. WM. Steven Smith, 2005. "Bond Selection for Managed Portfolios," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(1-2), pages 389-413.
    2. WM. Steven Smith, 2005. "Bond Selection for Managed Portfolios," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(1‐2), pages 389-413, January.

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