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Una metodología para valorar un callable bond

In this paper the methodology employed for assessing a bond that includes a call option (callable bond) is given by the numeric implementation of Hull and White short rate model, which it is accomplished through an interest rates trinomial tree. It also presents an application for the case of the...

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Bibliographic Details
Institution:Universidad EIA
Main Authors: Grajales-Correa, C. A. (Carlos Alexánder), Pérez-Ramírez, F. O. (Fredy Ocaris)
Format: Artículo de revista
Language:Español
Published: Administrativa, Financiera, Sistemas y Computación 2014-05-12
Subjects:
REI00088
ORGANIZACIÓN E INDUSTRIA
ORGANIZATION AND INDUSTRY
FINANCIAL PRODUCT
PRODUCTO FINANCIERO
MODELO DE TASA CORTA DE HULL Y WHITE
ÁRBOL TRINOMIAL DE TASAS
DERIVADOS FINANCIEROS
CALLABLE BOND
HULL AND WHITE SHORT RATE MODEL
RATE TRINOMIAL TREE
FINANCIAL DERIVATIVE
Online Access:https://repository.eia.edu.co/handle/11190/608
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