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SUMMARY AND CONCLUSIONS
CALLABLE GOVERNMENT DEBT
OPTIONS ON GOVERNMENT DEBT
7 other sections not shown
30 days American call option American option American put option assumed assumption average implied volatility bond price branching process Brennan and Schwartz Brownian bridge process callable bond callable Treasury bonds cash flows coupon bond coupon payment coupon rate debt options derive discount bond maturing discount bonds discrete dollar errors empirical volatility calculated equal to zero Error t-stat estimated European option European put option geometric Brownian bridge implied volatility calculated interest rate K/B Ratio log price-relatives maturity and striking maturity at-the-money call Mean Error mean pricing error mean squared error Model Of Obs model prices Model Values non-callable bond normally distributed null hypothesis optimal call policy option pricing models Options Classified period portfolio previous trading day Prices to Model pure discount bonds risk-neutral economy riskless rate RMSE RMSE refers sample standard deviation shortest maturity at-the-money striking price Summary Statistics Table term structure underlying bond valuation model Wiener process XT_n_h