AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES

DOI10.1142/S0219024904002785zbMath1090.91042OpenAlexW2113898393MaRDI QIDQ4658673

Frank J. Fabozzi, Andrew Kalotay, Deane Yang

Publication date: 18 March 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002785

zbMATH Keywords

optioncontingent claimrefinancingmortgage-backed securityMortgageprepayment model

Mathematics Subject Classification ID

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Cites Work

• A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
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