Residential College | false |
Status | 已發表Published |
Pricing Callable Bonds Based on Monte Carlo Simulation Techniques | |
Deng Ding1; Qi Fu2; Jacky So2 | |
2012-05 | |
Source Publication | Technology and Investment |
ISSN | 2150-4059 |
Volume | 3Issue: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. |
Keyword | Callable Bond Monte Carlo Simulation Cir Model Embedded Option Pricing |
DOI | 10.4236/ti.2012.32015 |
Language | 英語English |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | Faculty of Science and Technology DEPARTMENT OF MATHEMATICS |
Corresponding Author | Qi Fu |
Affiliation | 1.Faculty of Science and Technology, University of Macau, Macao, China 2.Faculty of Business Administration, University of Macau, Macao, China |
First Author Affilication | Faculty of Science and Technology |
Corresponding Author Affilication | Faculty 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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