An option-theoretic prepayment model for mortgages and mortgage-backed securities

International Journal of Theoretical and Applied Finance

Volumn 7, Issue 8, 2004, Pages 949-978

  Kalotay, Andrew ^a   Yang, Deane ^b   Fabozzi, Frank J ^c  

^a Andrew Kalotay Associates Inc   (United States)

^b POLYTECHNIC UNIVERSITY   (United States)

^c YALE UNIVERSITY   (United States)

Author keywords

Contingent claim; Mortgage; Mortgage backed security; Option; Prepayment model; Refinancing

Indexed keywords

EID: 12144272831     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024904002785     Document Type: Article

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