Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach
نویسندگان
چکیده
منابع مشابه
Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach∗
We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versions with jumps. The method is based on the eigenfunction expansion of the pricing operator. Given the set of call and put dates, the callable and putable bond pricing function is the value function...
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Public owners face a constant demand for developing new projects and for funding the renewal, maintenance and operation of existing infrastructure projects. One way to raise capitals to provide new financial resources to constrained budgets is to securitize a stream of revenue cash flows from a portfolio of mature infrastructure projects. We present a new type of PBS, the revenue performance-li...
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Corporations in the US have significantly increased their usage of callable bonds in the past 10-15 years. Whereas callable debt was issued in the past for interest rate hedging motives, the vast majority of callable bonds issued today have call options that will enver be "in the money". This feature implies that previous explanations for the issuance of callable debt no longer rationalize the ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2089131