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American options and callable bonds under stochastic interest rates and endogenous bankruptcy

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  • João Nunes

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  • João Nunes, 2011. "American options and callable bonds under stochastic interest rates and endogenous bankruptcy," Review of Derivatives Research, Springer, vol. 14(3), pages 283-332, October.
  • Handle: RePEc:kap:revdev:v:14:y:2011:i:3:p:283-332
    DOI: 10.1007/s11147-010-9058-x
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    References listed on IDEAS

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    Cited by:

    1. Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4059-4072.

    More about this item

    Keywords

    American options; Optimal stopping time; Convolutions; Stochastic interest rates; Callable defaultable bonds; G13;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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