Browsing by Author "Jr, Theodore M. Barnhill"
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The Survival Zone for a Bond with both Call and Put Options Embedded
Martzoukos, Spiros H.; Jr, Theodore M. Barnhill (1998)We present a numerical method to price bonds that have multiple embedded options with an emphasis on the case with both long call and short put options. The valuation framework is a one-factor model for the term structure ...