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Pricing Callable Bonds Based on Monte Carlo Simulation Techniques
Deng Ding1; Qi Fu2; Jacky So2
2012-05
Source PublicationTechnology and Investment
ISSN2150-4059
Volume3Issue:2Pages:121--125
Abstract

In this paper, a Monte Carlo method, which is based on some new simulation techniques proposed recently, is presented to numerically price the callable bond with several call dates and notice under the Cox-Ingersoll-Ross (CIR) interest rate model. The corresponding algorithms are also presented to practical callable bond pricing. The numerical experiments show that this method works very well for callable bond under the CIR interest rate model.

KeywordCallable Bond Monte Carlo Simulation Cir Model Embedded Option Pricing
DOI10.4236/ti.2012.32015
Language英語English
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Document TypeJournal article
CollectionFaculty of Science and Technology
DEPARTMENT OF MATHEMATICS
Corresponding AuthorQi Fu
Affiliation1.Faculty of Science and Technology, University of Macau, Macao, China
2.Faculty of Business Administration, University of Macau, Macao, China
First Author AffilicationFaculty of Science and Technology
Corresponding Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Deng Ding,Qi Fu,Jacky So. Pricing Callable Bonds Based on Monte Carlo Simulation Techniques[J]. Technology and Investment, 2012, 3(2), 121--125.
APA Deng Ding., Qi Fu., & Jacky So (2012). Pricing Callable Bonds Based on Monte Carlo Simulation Techniques. Technology and Investment, 3(2), 121--125.
MLA Deng Ding,et al."Pricing Callable Bonds Based on Monte Carlo Simulation Techniques".Technology and Investment 3.2(2012):121--125.
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