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An empirical test of an option pricing model of mortgage-backed securities pricing

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  • Murphy, J. Austin

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  • Murphy, J. Austin, 1991. "An empirical test of an option pricing model of mortgage-backed securities pricing," Journal of Economics and Business, Elsevier, vol. 43(1), pages 37-47, February.
    • Handle: RePEc:eee:jebusi:v:43:y:1991:i:1:p:37-47
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    Cited by:

    1. Sim, Jaehun & Prabhu, Vittaldas, 2017. "A microcredit contract model with a Black Scholes model under default risk," International Journal of Production Economics, Elsevier, vol. 193(C), pages 294-305.
    2. Murphy, Austin, 2000. "A comparative analysis of the price-process model of mortgage valuation," Review of Financial Economics, Elsevier, vol. 9(2), pages 65-82, December.
    3. Austin Murphy, 2000. "A comparative analysis of the price‐process model of mortgage valuation," Review of Financial Economics, John Wiley & Sons, vol. 9(2), pages 65-82, December.
    4. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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