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~source:"repec"
~isPartOf:"Asia-Pacific Financial Markets"
~isPartOf:"The Journal of Real Estate Finance and Economics"
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Fixed-rate mortgages
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Option pricing theory
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Occupation-time derivatives
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Duck, Peter
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Newton, David
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Sharp, Nicholas
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Ishii, Masahiro
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Johnson, Paul
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Asia-Pacific Financial Markets
The Journal of Real Estate Finance and Economics
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Physica A: Statistical Mechanics and its Applications
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Valuation of a Repriceable Executive Stock Option
Fujita, Takahiko
;
Ishii, Masahiro
- In:
Asia-Pacific Financial Markets
17
(
2010
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10008480874
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2
A New Prepayment Model (with Default): An Occupation-time Derivative Approach
Sharp, Nicholas
;
Johnson, Paul
;
Newton, David
;
Duck, Peter
- In:
The Journal of Real Estate Finance and Economics
39
(
2009
)
2
,
pp. 118-145
Persistent link: https://www.econbiz.de/10005005676
Saved in:
3
An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options
Sharp, Nicholas
;
Newton, David
;
Duck, Peter
- In:
The Journal of Real Estate Finance and Economics
36
(
2008
)
3
,
pp. 307-342
Persistent link: https://www.econbiz.de/10005716727
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