Computation of hedging coefficients for mortgage default and prepayment options : Malliavin calculus approach
Bilgi Yilmaz, A. Sevtap Selcuk-Kestel
| Year of publication: |
2019
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|---|---|
| Authors: | Yilmaz, Bilgi ; Selcuk-Kestel, A. Sevtap |
| Published in: |
The journal of real estate finance and economics. - Dordrecht : Springer, ISSN 0895-5638, ZDB-ID 1073289-5. - Vol. 59.2019, 4, p. 673-697
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| Subject: | Mortgage default risk | Mortgage prepayment risk | Malliavin calculus | Hedging coefficients | Monte Carlo simulation | Hypothek | Mortgage | Hedging | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Kreditrisiko | Credit risk | Derivat | Derivative | CAPM | Finanzmathematik | Mathematical finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11146-018-9688-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012385119