1. The approach employed here applies regardless of whether a lattice (binomial, trinomial), grid (finite differences), or paths (Monte Carlo) are used to generate the evolution of interest rates.

2. The details of term structure modeling are beyond the scope of this chapter.

3. Andrew J. Kalotay, George O. Williams, and Frank J. Fabozzi, “A Model for the Valuation of Bonds with Embedded Options,” Financial Analysts Journal (May-June 1993), pp. 35–46. See also Chapter 40 in this handbook.