Corpus ID: 220347372

Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach

@article{HyongChol2020AnalysisOT,
  title={Analysis on the Pricing model for a Discrete Coupon Bond with Early redemption provision by the Structural Approach},
  author={O. Hyong-Chol and T. S. Kim},
  journal={arXiv: Pricing of Securities},
  year={2020}
}
In this paper, using the structural approach is derived a mathematical model of the discrete coupon bond with the provision that allow the holder to demand early redemption at any coupon dates prior to the maturity and based on this model is provided some analysis including min-max and gradient estimates of the bond price. Using these estimates the existence and uniqueness of the default boundaries and some relationships between the design parameters of the discrete coupon bond with early… Expand

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