Bao, Jianhai; Yuan, Chenggui - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 266-272
The long-term interest rates, for example, determine when homeowners refinance their mortgages in mortgage pricing, play a dominant role in life insurance, decide when one should exchange a long bond to a short bond in pricing an option. In this paper, for a one-factor model, we reveal that the...