A stochastic approach to model housing markets: the US housing market case

DOI10.3934/NACO.2018030zbMath1418.91561OpenAlexW2888833285WikidataQ129280088 ScholiaQ129280088MaRDI QIDQ1735709

A. Sevtap Selcuk-Kestel, Bilgi Yilmaz

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

zbMATH Keywords

stochastic differential equationscalibrationforecastinghousing indexmortgage rate

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Default and prepayment options pricing and default probability valuation under VG model

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities
• Option pricing when underlying stock returns are discontinuous

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