Valuing Default and Prepayment Options in Mortgages: No-Arbitrage Bivariate Lattice and Its Applications
碩士 === 國立臺灣大學 === 財務金融學研究所 === 89 === The article uses a bivariate pricing lattice, which differs from previous researches by including no-arbitrage interest rate process, to value prepayment and default options in fixed- and adjustable rate mortgages. A modified adjustable-rate mortgage pricing app...
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| Format: | Others |
| Language: | en_US |
| Published: |
2001
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| Online Access: | http://ndltd.ncl.edu.tw/handle/57486538520306157481 |