Closed-form Solution of Bond Prices with Postponement of Redemption

Ryoichi Ikeda and Takao Kobayashi
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Ryoichi Ikeda: Graduate School of Economics, University of Tokyo
Takao Kobayashi: Faculty of Economics, University of Tokyo

No CARF-J-039, CARF J-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

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.

Pages: 21 pages
Date: 2007-07
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Persistent link: https://EconPapers.repec.org/RePEc:cfi:jseres:cj039

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