April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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Pricing a callable bond option
In this section, we will take a look at pricing a callable bond. We assume that the bond to be priced is a zero-coupon paying bond with an embedded European call option. The price of a callable bond can be thought of as follows:
Price of callable bond = price of bond with no option − price of call option
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