Exercise 27.4.7 Argue that using Monte Carlo simulation to price callable (putable) bonds tends to underestimate (overestimate,

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Exercise 27.4.7 Argue that using Monte Carlo simulation to price callable

(putable) bonds tends to underestimate (overestimate, respectively) their values.

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

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Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 28, 2024 05:02 AM

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Exercise 27.4.7 Argue that using Monte Carlo simulation to price callable (putable) bonds tends to underestimate (overestimate, respectively) their values.
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Exercise 27.4.7 Argue that using Monte Carlo simulation to price callable (putable) bonds tends to underestimate (overestimate,

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Financial Engineering And Computation Principles Mathematics Algorithms

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