Valuing Prepayment and Default in a Fixed-Rate Mortgage: A Bivariate Binomial Options Pricing Technique
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Reference30 articles.
1. Numerical Valuation of High Dimensional Multivariate American Securities
2. The Pricing of Options and Corporate Liabilities
3. A Lattice Framework for Option Pricing with Two State Variables
4. Option Replication in Discrete Time with Transaction Costs
5. Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis
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