INDIFFERENCE VALUATION OF MORTGAGE-BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK

DOI10.1111/j.1467-9965.2010.00407.xzbMath1198.91219OpenAlexW1519071875MaRDI QIDQ3576958

Ti Zhou

Publication date: 3 August 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00407.x

zbMATH Keywords

hazard ratemortgage-backed securitiesindifference valuationindifference valuation mortgage-backed securitiestotally unpredictable prepayment risk

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20)

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