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Y. D’Halluin, P. A. Forsyth, K. R. Vetzal and G. Labahn, “A Numerical PDE Approach for Pricing Callable Bonds,” Applied Mathematical Finance, Vol. 8, No. 1, 2001, pp. 49-77. doi:10.1080/13504860110046885

has been cited by the following article:

• TITLE: Pricing Callable Bonds Based on Monte Carlo Simulation Techniques

  AUTHORS: Deng Ding, Qi Fu, Jacky So

  KEYWORDS: Callable Bond; Monte Carlo Simulation; CIR Model; Embedded Option Pricing

  JOURNAL NAME: Technology and Investment, Vol.3 No.2, May 29, 2012

  ABSTRACT: In this paper, a Monte Carlo method, which is based on some new simulation techniques proposed recently, is presented to numerically price the callable bond with several call dates and notice under the Cox-Ingersoll-Ross (CIR) interest rate model. The corresponding algorithms are also presented to practical callable bond pricing. The numerical experiments show that this method works very well for callable bond under the CIR interest rate model.