Question
Suppose a 5 years semiannual coupon bond with embedded option. This coupon bond pays its 5% coupon only when 6 month yield is below 6%.
Suppose a 5 years semiannual coupon bond with embedded option. This coupon bond pays its 5% coupon only when 6 month yield is below 6%. Price this coupon bond with calibrated Ho-Lee model. (FV=100, no coupon at t=0)
How do I calculate this?
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Foundations Of Finance
Authors: Arthur J. Keown, John H. Martin, J. William Petty
10th Edition
0135160618, 978-0135160619
