A stochastic approach to model housing markets: the US housing market case
DOI10.3934/NACO.2018030zbMATH Open1418.91561OpenAlexW2888833285WikidataQ129280088 ScholiaQ129280088MaRDI QIDQ1735709FDOQ1735709
Authors: Bilgi Yilmaz, A. Sevtap Selcuk-Kestel 
Publication date: 28 March 2019
Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/naco.2018030
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Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- The pricing of options and corporate liabilities
- A theory of the term structure of interest rates
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An equilibrium characterization of the term structure
- Pricing interest-rate-derivative securities
- Option pricing when underlying stock returns are discontinuous
Cited In (5)
- Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark
- Default and prepayment options pricing and default probability valuation under VG model
- Title not available (Why is that?)
- What drives Ireland's housing market? A Bayesian DSGE approach
- Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis
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