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Volumn 63, Issue 4, 1996, Pages 639-656

An Option-Theoretic Model of Catastrophes Applied to Mortgage Insurance

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EID: 0041679206     PISSN: 00224367     EISSN: None     Source Type: Journal    
DOI: 10.2307/253475     Document Type: Article
Times cited : (23)

References (17)
  • 1
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    • The Crash of 87: Was It Expected? The Evidence from Options Markets
    • Bates, David, 1991, The Crash of 87: Was It Expected? The Evidence from Options Markets, Journal of Finance, 46: 1009-1044.
    • (1991) Journal of Finance , vol.46 , pp. 1009-1044
    • Bates, D.1
  • 2
    • 0016556816 scopus 로고
    • Numerical Solution of a Diffusion Consumption Problem with a Free Boundary
    • Berger, A., M. Ciment, and J. Rogers, 1975, Numerical Solution of a Diffusion Consumption Problem with a Free Boundary, SIAM Journal of Numerical Analysis, 12: 646-672.
    • (1975) SIAM Journal of Numerical Analysis , vol.12 , pp. 646-672
    • Berger, A.1    Ciment, M.2    Rogers, J.3
  • 3
    • 84977388192 scopus 로고
    • A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates
    • Cox, J. C., J. E. Ingersoll, Jr., and S. A. Ross, 1981, A Re-examination of Traditional Hypotheses About the Term Structure of Interest Rates, Journal of Finance, 36: 769-799.
    • (1981) Journal of Finance , vol.36 , pp. 769-799
    • Cox, J.C.1    Ingersoll Jr., J.E.2    Ross, S.A.3
  • 4
    • 0001205798 scopus 로고
    • A Theory of the Term Structure of Interest Rates
    • Cox, J. C., J. E. Ingersoll, Jr., and S. A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica, 53: 385-407.
    • (1985) Econometrica , vol.53 , pp. 385-407
    • Cox, J.C.1    Ingersoll Jr., J.E.2    Ross, S.A.3
  • 5
    • 84977325646 scopus 로고
    • Valuation of GNMA Mortgage-Backed Securities
    • Dunn, K. and J. J. McConnell, 1981, Valuation of GNMA Mortgage-Backed Securities, Journal of Finance, 36: 599-617.
    • (1981) Journal of Finance , vol.36 , pp. 599-617
    • Dunn, K.1    McConnell, J.J.2
  • 6
    • 1542677404 scopus 로고
    • At Risk: A Survey of Insurance
    • December 3-9
    • The Economist, 1994, At Risk: A Survey of Insurance, December 3-9: 67.
    • (1994) The Economist , pp. 67
  • 8
    • 0002672351 scopus 로고
    • Option Arbitrage and Strategy with Large Price Changes
    • Jones, E. P., 1984, Option Arbitrage and Strategy with Large Price Changes, Journal of Financial Economics, 13: 91-113.
    • (1984) Journal of Financial Economics , vol.13 , pp. 91-113
    • Jones, E.P.1
  • 12
    • 21344483350 scopus 로고
    • Option Theory and Floating Rate Securities with a Comparison of Adjustable and Fixed Rate Mortgages
    • Kau, J. B., D. C. Keenan, W. J. Muller, III, and J. Epperson, 1993, Option Theory and Floating Rate Securities with a Comparison of Adjustable and Fixed Rate Mortgages, Journal of Business, 66: 595-618.
    • (1993) Journal of Business , vol.66 , pp. 595-618
    • Kau, J.B.1    Keenan, D.C.2    Muller III, W.J.3    Epperson, J.4
  • 15
    • 34248474317 scopus 로고
    • Option Pricing When Underlying Stock Returns Are Discontinuous
    • Merton, R., 1976, Option Pricing When Underlying Stock Returns Are Discontinuous, Journal of Financial Economics, 3: 125-144.
    • (1976) Journal of Financial Economics , vol.3 , pp. 125-144
    • Merton, R.1
  • 17
    • 84977701086 scopus 로고
    • Valuing Commercial Mortgages: An Empirical Investigation of the Contingent Claims Approach to Pricing Risky Debt
    • Titman, S. and W. Torous, 1989, Valuing Commercial Mortgages: An Empirical Investigation of the Contingent Claims Approach to Pricing Risky Debt, Journal of Finance, 44: 345-373.
    • (1989) Journal of Finance , vol.44 , pp. 345-373
    • Titman, S.1    Torous, W.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.