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A New Prepayment Model (with Default): An Occupation-time Derivative Approach
Sharp, Nicholas; Johnson, Paul; Newton, David; Duck, Peter - In: The Journal of Real Estate Finance and Economics 39 (2009) 2, pp. 118-145
Persistent link: https://www.econbiz.de/10005005676
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An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options
Sharp, Nicholas; Newton, David; Duck, Peter - In: The Journal of Real Estate Finance and Economics 36 (2008) 3, pp. 307-342
Persistent link: https://www.econbiz.de/10005716727