A LATTICE APPROACH TO PRICING FIXED-RATE MORTGAGES WITH DEFAULT AND PREPAYMENT OPTIONS

被引：0
|
作者：
LEUNG, WK
SIRMANS, CF
机构：
来源：
AREUEA JOURNAL-JOURNAL OF THE AMERICAN REAL ESTATE & URBAN ECONOMICS ASSOCIATION | 1990年 / 18卷 / 01期
关键词：
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：91 / 104
页数：14
相关论文
共 50 条
  • [21] Adjustable and fixed rate mortgages as a screening mechanism for default risk
    Posey, LL
    Yavas, A
    [J]. JOURNAL OF URBAN ECONOMICS, 2001, 49 (01) : 54 - 79
  • [22] DURATION AND THE PRICE BEHAVIOR OF FIXED-RATE LEVEL PAYMENT MORTGAGES - AN ANALYTICAL INVESTIGATION
    HAENSLY, PJ
    SPRINGER, TM
    WALLER, NG
    [J]. JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 1993, 6 (02): : 157 - 166
  • [23] OPTION THEORY AND FLOATING-RATE SECURITIES WITH A COMPARISON OF ADJUSTABLE-RATE AND FIXED-RATE MORTGAGES
    KAU, JB
    KEENAN, DC
    MULLER, WJ
    EPPERSON, JF
    [J]. JOURNAL OF BUSINESS, 1993, 66 (04): : 595 - 618
  • [24] PRICING FIXED RATE MORTGAGES - SOME EMPIRICAL-EVIDENCE
    SIRMANS, CF
    BENJAMIN, JD
    [J]. JOURNAL OF FINANCIAL SERVICES RESEARCH, 1990, 4 (03) : 191 - 202
  • [25] Computation of Hedging Coefficients for Mortgage Default and Prepayment Options: Malliavin Calculus Approach
    Bilgi Yilmaz
    A. Sevtap Selcuk-Kestel
    [J]. The Journal of Real Estate Finance and Economics, 2019, 59 : 673 - 697
  • [26] Computation of Hedging Coefficients for Mortgage Default and Prepayment Options: Malliavin Calculus Approach
    Yilmaz, Bilgi
    Selcuk-Kestel, A. Sevtap
    [J]. JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2019, 59 (04): : 673 - 697
  • [27] A Mellin Transform Approach to the Pricing of Options with Default Risk
    Choi, Sun-Yong
    Veng, Sotheara
    Kim, Jeong-Hoon
    Yoon, Ji-Hun
    [J]. COMPUTATIONAL ECONOMICS, 2022, 59 (03) : 1113 - 1134
  • [28] A Mellin Transform Approach to the Pricing of Options with Default Risk
    Sun-Yong Choi
    Sotheara Veng
    Jeong-Hoon Kim
    Ji-Hun Yoon
    [J]. Computational Economics, 2022, 59 : 1113 - 1134
  • [29] An efficient approach to lattice-based fixed-rate entropy-coded vector quantization
    Nikneshan, S
    Khandani, AK
    [J]. EUROPEAN TRANSACTIONS ON TELECOMMUNICATIONS, 2003, 14 (02): : 141 - 147
  • [30] ACCELERATING INFLATION AND NON-ASSUMABLE FIXED-RATE MORTGAGES - EFFECTS ON CONSUMER CHOICE AND WELFARE
    HENDERSHOTT, PH
    HU, S
    [J]. PUBLIC FINANCE QUARTERLY, 1982, 10 (02): : 158 - 184
12345