An international comparison of pricing callable and puttable bonds in interbank financial markets

Nowman, K.B. and Sorwar, G. 2001. An international comparison of pricing callable and puttable bonds in interbank financial markets. Managerial Finance. 27 (1/2), pp. 99-110.

TitleAn international comparison of pricing callable and puttable bonds in interbank financial markets
AuthorsNowman, K.B. and Sorwar, G.
Abstract

In this paper we apply the Box method of Barone-Adesi et al (1997) to value default free bonds and contingent claims starting from the CKLS model. Using the Box method and recently obtained historical interbank estimates of the CKLS model obtained for Australia, Belgium,Germany, Japan, Netherlands, NewZealand and Switzerland, we have calculated implied bond and contingent claim prices for these currencies. Our results indicate that default free bonds, as well as callable and puttable bond prices are especially sensitive to the underlying interest rate model used and varies over the international currencies examined.

KeywordsAccounting research, Bonds, Interest rates, Modelling
JournalManagerial Finance
Journal citation27 (1/2), pp. 99-110
ISSN0307-4358
Year2001
Web address (URL)http://www.emeraldinsight.com/Insight/viewContentItem.do?contentType=Article&hdAction=lnkpdf&contentId=865731
Publication dates
Published2001

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