|Author||Topic: CFA Level 2 - Callable Bond Values|
|Does anyone know how to value call prices for bonds with embedded options?
This comes from Study Session 14.C.b. in the notes.
I know how to value the option free bond values at each node, but the call values at each node is a mystery. The one review question in the study notes provides one call price of 100 in the question, but not the second of 99.755.
How do you calculate 99.755?