SYMPOSIUM ON TERM STRUCTURE MODELS AND INTEREST RATE VOLATILITY - ON THE ORIGIN AND INTERPRETATION OF OAS - OAS, or "option-adjusted spread," a commonly quoted statistic in the mortgage-backed securities market, is a mathematical construct used to ensure that a mortgage's estimated equivalent martingale model price is equal to its quoted market price. Absent any OAS adjustment, common risk-neutral ...
| Year of publication: |
1999
|
|---|---|
| Authors: | Kupiec, Paul ; Kah, Adama |
| Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 9.1999, 3, p. 82-92
|