Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
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References listed on IDEAS
- Stanton, Richard & Wallace, Nancy, 1999. "Anatomy of an ARM: The Interest-Rate Risk of Adjustable-Rate Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 19(1), pages 49-67, July.
- Schwartz, Eduardo S & Torous, Walter N, 1989. " Prepayment and the Valuation of Mortgage-Backed Securities," Journal of Finance, American Finance Association, vol. 44(2), pages 375-392, June.
- 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.
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KeywordsPath-dependent Options; Finite Difference; Mortgage Backed Securities;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-05-15 (All new papers)
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