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Closed-form Solution of Bond Prices with Postponement of Redemption

Author

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  • Ryoichi Ikeda

    (Graduate School of Economics, University of Tokyo)

  • Takao Kobayashi

    (Faculty of Economics, 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.

Suggested Citation

  • Ryoichi Ikeda & Takao Kobayashi, 2007. "Closed-form Solution of Bond Prices with Postponement of Redemption," CARF J-Series CARF-J-039, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    • Handle: RePEc:cfi:jseres:cj039
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