Computing the endogenous mortgage rate without iterations
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Publication:3404100
DOI10.1080/14697680802609485zbMATH Open1182.91175OpenAlexW1964119983MaRDI QIDQ3404100FDOQ3404100
Publication date: 5 February 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680802609485
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Cites Work
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
- AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
- Mortgage valuation and optimal refinancing
- Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
Cited In (6)
- ON THE EXISTENCE OF THE ENDOGENOUS MORTGAGE RATE PROCESS
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- Risk and reward of home equity borrowing for investment in Canada, a stochastic analysis
- ONE- AND MULTI-FACTOR VALUATION OF MORTGAGES: COMPUTATIONAL PROBLEMS AND SHORTCUTS
- Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
- Endogenous current coupons
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