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Research Article

A generalized algorithm for duration and convexity of option-embedded bonds: a correction

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References

  • Dunetz, M. L., and J. M. Mahoney. 1988. “Using Duration and Convexity in the Analysis of Callable Bonds.” Financial Analysts Journal 44 (3): 53–72. doi:10.2469/faj.v44.n3.53.
  • Homaifar, G. A., and F. A. Michello. 2018. “A Generalized Algorithm for Duration and Convexity of Option Embedded Bonds.” Applied Economic Letters. doi:10.1080/13504851.2018.1502862.
  • Mehran, J., and G. A. Homaifar. 1993. “Analytics of Duration and Convexity for Bonds with Embedded Options: The Case of Convertibles.” Journal of Business Finance and Accounting 20 (1): 101–113. doi:10.1111/j.1468-5957.1993.tb00253.x.

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