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Pricing mortgages: an options approach

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  • Ben Iben
  • Randall Pozdena

Abstract

No abstract is available for this item.

Suggested Citation

  • Ben Iben & Randall Pozdena, 1984. "Pricing mortgages: an options approach," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 39-55.
    • Handle: RePEc:fip:fedfer:y:1984:i:spr:p:39-55
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    File URL: http://www.frbsf.org/publications/economics/review/1984/84-2_39-55.pdf
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    References listed on IDEAS

    as
    1. Patric H. Hendershott & Kevin E. Villani, 1981. "The Terminations Premium in Mortgage Coupon Rates: Evidence on the Integration of Mortgage and Bond Markets," NBER Working Papers 0738, National Bureau of Economic Research, Inc.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    3. Geske, Robert & Shastri, Kuldeep, 1985. "Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(1), pages 45-71, March.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Stephen A. Buser & Patric H. Hendershott & Anthony B. Sanders, 1984. "Pricing Rate Caps on Default-Free Adjustable-Rate Mortgages," NBER Working Papers 1525, National Bureau of Economic Research, Inc.

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    Keywords

    Mortgages; options; Prices;
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