Indifference valuation of mortgage-backed securities in the presence of prepayment risk (Q3576958)
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scientific article; zbMATH DE number 5763545
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| English | Indifference valuation of mortgage-backed securities in the presence of prepayment risk |
scientific article; zbMATH DE number 5763545 |
Statements
INDIFFERENCE VALUATION OF MORTGAGE-BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK (English)
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3 August 2010
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mortgage-backed securities
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totally unpredictable prepayment risk
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hazard rate
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indifference valuation mortgage-backed securities
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indifference valuation
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0.8058867454528809
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0.8004413843154907
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0.7955220341682434
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0.7954269647598267
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