# option value for yield to worst model

I would like to understand if there is a way to imply the option value from the bond price for a callable bond. I understand the mechanics of calculation of the worst yield in the presence of many call dates(price to yield for each date being a maturity) but is there way to imply how much the option worth in each case?

• Callable riskless bond price = noncallable bond - call option. Use standard option valuation methodology and use sum-of-the-parts to achieve your objective.
– Kch
Jul 19 at 21:48
• @Kch that means I have to create a model to compute option price. What if I need to calibrate my model? Is there some idea how those parts are valued implied from the prices and workout dates I observe? In particular, assume I computed the smallest yield for a given price is the bond was called at T_best for a given price X. Does it give me any additional information about the split up between bullet and option? Jul 20 at 1:27
• Same procedure to calibrate. Break up the parts on reference securities and extract a vol surface from those
– Kch
Jul 21 at 15:45