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This paper estimates an empirical model of the choice between adjustable- and fixe d-rate mortgages using a large national database compiled by the Nat ional Association of Realtors. The explanatory variables in the probi t choice equation include borrower characteristics, regional dummies, the...
Persistent link: https://www.econbiz.de/10005557423
A method for estimating the marginal rate of substitution in the intertemporal capital asset pricing model is presented. The marginal rate of substitution is treated as an unobservable and one-period returns are used to develop a method of moments estimator that is consistent. Consistency...
Persistent link: https://www.econbiz.de/10005692367
Persistent link: https://www.econbiz.de/10005692608
Solutions are presented for prices on interest rate options in a two-factor version of the Cox-Ingersoll-Ross model of the term structure. Specific solutions are developed for caps on floating interest rates and for European options on discount bonds, coupon bonds, coupon bond futures, and...
Persistent link: https://www.econbiz.de/10005564117