Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation

DOI10.1080/13504860902781419zbMath1188.91077OpenAlexW1970877357MaRDI QIDQ5851722

Andreas Kolbe, Rudi Zagst

Publication date: 25 January 2010

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

Full work available at URL: https://doi.org/10.1080/13504860902781419

zbMATH Keywords

closed-formrisk-neutral pricingprepaymentmortgage-backed security

Mathematics Subject Classification ID

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

Related Items

BEHAVIORAL VALUE ADJUSTMENTS

Cites Work

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