摘要翻译：
我们提出了一种有效的方法来评估各种利率模型下的可赎回债券和可发行债券，包括流行的短期利率扩散模型，以及它们的带跳跃的时间变化版本。该方法基于定价算子的特征函数展开。在给定买进和卖出日期的情况下，可买进和可推定的债券定价函数是一个有停止时间的随机博弈的价值函数。在一定的技术条件下，证明了定价算子的本征函数有一个本征函数展开，展开系数是通过向后递推确定的。对于流行的短速率扩散模型，如CIR，Vasicek，3/2，该方法比文献中的替代方法快几个数量级。与文献中仅限于扩散的方法不同，该方法同样适用于短速率跳跃扩散和由Bochner服从L\'{e}vy从属子的扩散模型构造的纯跳跃模型。
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英文标题：
《Evaluating Callable and Putable Bonds: An Eigenfunction Expansion
  Approach》
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作者：
Dongjae Lim, Lingfei Li, Vadim Linetsky
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versions with jumps. The method is based on the eigenfunction expansion of the pricing operator. Given the set of call and put dates, the callable and putable bond pricing function is the value function of a stochastic game with stopping times. Under some technical conditions, it is shown to have an eigenfunction expansion in eigenfunctions of the pricing operator with the expansion coefficients determined through a backward recursion. For popular short rate diffusion models, such as CIR, Vasicek, 3/2, the method is orders of magnitude faster than the alternative approaches in the literature. In contrast to the alternative approaches in the literature that have so far been limited to diffusions, the method is equally applicable to short rate jump-diffusion and pure jump models constructed from diffusion models by Bochner's subordination with a L\'{e}vy subordinator.
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PDF链接：
https://arxiv.org/pdf/1206.5046