Quantitative Finance
J-series
Date:
Number:CARF-J-039
Closed-form Solution of Bond Prices with Postponement of Redemption
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.