A numerical PDE approach for pricing callable bonds

By Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal, George Labahn. 2001

49 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/3dcc99a3d45565b8146bd1ea22e9981b4887cc24

How researchers see this paper

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In Finance

1. Peter A. Forsyth
2. Kenneth R. Vetzal
3. R. Zvan
4. S. Clift
5. Jari Toivanen
6. Samuli Ikonen
7. George Labahn
8. Alexander Schied

Citations in the corpus

• Convergence of numerical methods for valuing path-dependent options using interpolation (2002, methodology): “As r ∞, then V r F t 0 Depending on the values of a, b, and σr, a boundary condition may or may not need to be specified at r 0 (see d’Halluin et al. (2001) for a detailed discussion).”