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Intensity-based framework and penalty formulation of optimal stopping problems

  • Dai, Min
  • Kwok, Yue Kuen
  • You, Hong
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No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/B6V85-4N6FV68-1/2/2eff6ef52f0632c13ba9b9fe731ee999
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 31 (2007)
Issue (Month): 12 (December)
Pages: 3860-3880

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Handle: RePEc:eee:dyncon:v:31:y:2007:i:12:p:3860-3880
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
  2. Yevgeny Goncharov, 2006. "An Intensity-Based Approach To The Valuation Of Mortgage Contracts And Computation Of The Endogenous Mortgage Rate," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(06), pages 889-914.
  3. Alex Szimayer, 2005. "Valuation of American options in the presence of event risk," Finance and Stochastics, Springer, vol. 9(1), pages 89-107, January.
  4. Min Dai & Yue Kwok, 2005. "Optimal policies of call with notice period requirement," Asia-Pacific Financial Markets, Springer, vol. 12(4), pages 353-373, December.
  5. Yongheng Deng & John M. Quigley & Robert Van Order, 2000. "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options," Econometrica, Econometric Society, vol. 68(2), pages 275-308, March.
  6. Schwartz, Eduardo S & Torous, Walter N, 1992. "Prepayment, Default, and the Valuation of Mortgage Pass-through Securities," The Journal of Business, University of Chicago Press, vol. 65(2), pages 221-39, April.
  7. McConnell, John J & Singh, Manoj, 1994. " Rational Prepayments and the Valuation of Collateralized Mortgage Obligations," Journal of Finance, American Finance Association, vol. 49(3), pages 891-921, July.
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