03-028/2 - Valuing Euro Rating-Triggered Step-Up Telecom Bonds

• Authors
  Patrick Houweling, Faculty of Economics, Erasmus University Rotterdam; Albert Mentink, Erasmus University Rotterdam, and Aegon Asset Management; Ton Vorst, VU University Amsterdam
• Publication date
  April 2, 2003

• Keywords
  step-up bonds; Jarrow-Lando-Turnbull model; rating-based reduced form model; transition probabilities.
• JEL
  C13; G12.