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A MODEL FOR THE VALUATION OF SAVINGS BONDS
IMPLEMENTATION OF THE VALUATION MODEL
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American put option arbitrage assumptions Bc(r Bcc(r Bcd(r bd(r Bdd(r bond is redeemed bond issue bond price bond type Bond Yield bondholders Bonds in Relation bonds outstanding bons boundary conditions Canada Savings Bonds Chapter coefficients compound interest certificate compound interest date consol rate coupon payments coupon rate coupon-discount bond coupons earned default free bond early redemption equivalent straight bond estimated Government Bond Government Debt holder instantaneous interest rate instantaneous rate investor maturity value condition maximum holdings National Savings Certificates non-transferable notional value obtained optimal redemption strategy Option Bond outstanding issues parameter partial differential equation period coupon bond period discount bond portfolio predicted bond values predicted value Premium Bonds purchase put option rate of return rational redemption strategy redemption incentive redemption price redemption strategy locus redemption value SAVINGS BOND VALUES second period coupon stochastic process straight default free Table tax rate tion valuation model variables variance-covariance matrix yield to maturity