Pricing bonds with optional sinking feature using Markov Decision Processes
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References listed on IDEAS
- Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
- Patrick Hagan & Graeme West, 2006. "Interpolation Methods for Curve Construction," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(2), pages 89-129.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-04 (All new papers)
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