Pricing implicit options in mortgages

MaRDI QIDQ4953580zbMATH OpenFDO

Authors Andrea Consiglio, Massimo Costabile, Carlo Mari, Ivar Massabò

Publication date 22 June 2000

zbMATH Keywords

mortgagesoption pricingterm structure models

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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(5)

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• Optimal prepayment of Dutch mortgages*

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