A prepayment-risk-neutral pricing model for mortgage-backed securities

DOI10.11568/KJM.2021.29.2.409zbMath1470.91267OpenAlexW3175266360MaRDI QIDQ5006103

Seryoong Ahn, Ji-Hun Yoon, Wan Young Song

Publication date: 12 August 2021

Full work available at URL: http://journal.kkms.org/index.php/kjm/article/download/1157/620

zbMATH Keywords

call optionprepaymentmorgage-backed securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF 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

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