A numerical PDE approach for pricing callable bonds
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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.
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KeywordsCallable Bond; Numerical Pde; Discontinuity; Green'S Function;
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