Pricing Mortgage-Backed Securities-First Hitting Time Approach
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References listed on IDEAS
- Hans U. Gerber & Hlias S. W. Shiu, 1996. "Martingale Approach To Pricing Perpetual American Options On Two Stocks," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 303-322, July.
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More about this item
KeywordsMortgage-Backed Security; First Hitting Time; Prepayment; Default;
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
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