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Dongjae Lim

Northwestern University - Department of Industrial Engineering and Management Sciences

Evanston, IL 60208-3119

United States

  • Northwestern University - Department of Industrial Engineering and Management Sciences

SCHOLARLY PAPERS

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Scholarly Papers (1)

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Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach

Number of pages: 27 Posted: 22 Jun 2012
Dongjae Lim, Lingfei Li and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Northwestern University - Department of Industrial Engineering and Management Sciences
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Abstract:

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interest rate models, callable bonds, options embedded in bonds, optimal stopping, stochastic games, eigenfunction expansions, option pricing, stochastic time changes