A New Prepayment Model (with Default): An Occupation-time Derivative Approach
| Year of publication: |
2009
|
|---|---|
| Authors: | Sharp, Nicholas ; Johnson, Paul ; Newton, David ; Duck, Peter |
| Published in: |
The Journal of Real Estate Finance and Economics. - Springer. - Vol. 39.2009, 2, p. 118-145
|
| Publisher: |
Springer |
| Subject: | Prepayment | Fixed-rate mortgages | Option-pricing theory | Occupation-time derivatives | Parisian options |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005005676