Working Papers

Quantitative Finance

J-series

Date:

Number:CARF-J-039

Closed-form Solution of Bond Prices with Postponement of Redemption

Author:Ikeda,Ryoichi and Takao Kobayashi

Abstract

This paper shows the analytical solution of a bond price with postponement of redemption by considering the special case of Ikeda and Kobayashi (2007). We can derive the solution by solving a Wiener-Hopf type integral equation, and such derivation does not have an example in others. Therefore the further development will be expected in various financial analyses.

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