Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations

DOI10.1007/S10203-011-0117-ZzbMath1267.91033OpenAlexW1977104697MaRDI QIDQ1938899

Werner Hürlimann

Publication date: 25 February 2013

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-011-0117-z

zbMATH Keywords

Vasicek modelCIR modelHull-White modelCallable mortgageprepayment optionrecombining binomial tree

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Computational methods for problems pertaining to probability theory (60-08) Microeconomic theory (price theory and economic markets) (91B24) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sensitivities for Bermudan options by regression methods
• Polynomial algorithms for pricing path-dependent interest rate instruments
• Optimal prepayment and default rules for mortgage-backed securities
• Computationally simple lattice methods for option and bond pricing
• LIBOR and swap market models and measures
• A Theory of the Term Structure of Interest Rates
• A parabolic variational inequality arising from the valuation of fixed rate mortgages
• An Asymptotic Method to a Financial Optimization Problem
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
• The Valuation of Path Dependent Contracts on the Average
• The Market Model of Interest Rate Dynamics
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• An equilibrium characterization of the term structure
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Pricing Interest-Rate-Derivative Securities
• Option pricing: A simplified approach
• Arbitrage Theory in Continuous Time
• Optimal payment of mortgages
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models

This page was built for publication: Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations