지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
이용수
초록· 키워드
오류제보하기
In this paper, we investigate a pricing model for mortgage-backed securities (MBSs) of a pay-through type of collateral mortgage obligation (CMO), embedded call options, which can be exercised by the intermediary, and pass-through MBSs. We suggest a prepayment-risk-neutral pricing model, applying a reduced-form prepayment rate model, and then compute and investigate the appropriate prices and spreads in the coupon rates between CMOs and PT MBSs. We believe that this study contributes in that it provides a sophisticated pricing model for MBSs, especially to the financial markets which are not advanced enough to finance with a simple type of MBSs.
목차
등록된 정보가 없습니다.
참고문헌 (21)
참고문헌 신청
Carlin, B. I / 2014 / Disagreement and Asset Prices / Journal of Financial Economics 114(2):226~238
Chernov, M / 2016 / Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage–Backed Securities / National Bureau of Economic Research
Cheyette, O / 1996 / Implied Prepayments / Journal of Portfolio Management 23(1):107~115
Cohler, G / 1997 / Price of Risk Constant(PORC)Going Beyond OAS / The Journal of Fixed Income 6(4):6~15
Deng, Y / 2000 / Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options / Econometrica 68(2):275~307
Chernov, M / 2016 / Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage–Backed Securities / National Bureau of Economic Research
Cheyette, O / 1996 / Implied Prepayments / Journal of Portfolio Management 23(1):107~115
Cohler, G / 1997 / Price of Risk Constant(PORC)Going Beyond OAS / The Journal of Fixed Income 6(4):6~15
Deng, Y / 2000 / Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options / Econometrica 68(2):275~307
함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
Option pricing and profitability: A comprehensive examination of machine learning, Black-Scholes, and Monte Carlo method
CSAM(Communications for Statistical Applications and Methods)
2024 .09
-
Pricing of Vulnerable Power Exchange Option under the Hybrid Model
East Asian Mathematical Journal
2021 .09
-
MOBILE PLATFORM FOR PRICING OF EQUITY-LINKED SECURITIES
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2017 .09
-
COMPARISON OF NUMERICAL METHODS FOR OPTION PRICING UNDER THE CGMY MODEL
충청수학회지
2016 .01
-
Pricing Vulnerable Power Option under a CEV Diffusion
East Asian Mathematical Journal
2021 .09
-
FAST ANDROID IMPLIMENTATION OF MONTE CARLO SIMULATION FOR PRICING EQUITY-LINKED SECURITIES
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2020 .03
-
Simplified Approach to Valuation of Vulnerable Exchange Option under a Reduced-Form Model
East Asian Mathematical Journal
2021 .01
-
A Probabilistic Approach for Valuing Exchange Option with Default Risk
East Asian Mathematical Journal
2020 .01
-
PRICING OF TIMER-DIGITAL POWER OPTIONS
East Asian Mathematical Journal
2024 .01
-
Digital Option Pricing based on Copulas with Stochastic Simulation
순수 및 응용수학
2015 .01
-
Option pricing under general geometric Riemannian Brownian motions
대한수학회보
2016 .01
-
The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure
대한수학회지
2020 .01
-
원-팩터 옵션가격결정 모형 및 내재 경기변동요인에 관한 연구
한국데이터정보과학회지
2018 .05
-
주택연금 가입자의 중도해지의향에 대한 연구
한국데이터정보과학회지
2022 .07
-
Pricing symmetric type of power quanto options
대한수학회보
2019 .01
-
Dickey-Fuller Test for an Extended MA Model
Quantitative Bio-Science
2019 .05
-
Semi closed-form pricing autocallable ELS using Brownian Bridge
CSAM(Communications for Statistical Applications and Methods)
2021 .05
-
정규혼합모형의 오차를 갖는 GARCH 모형을 이용한 옵션가격결정에 대한 실증연구
한국데이터정보과학회지
2017 .03
-
Discount barrier option pricing with a stochastic interest rate: Mellin transform techniques and method of images
대한수학회논문집
2018 .01
-
AN EFFICIENT METHOD FOR SOLVING TWO-ASSET TIME FRACTIONAL BLACK-SCHOLES OPTION PRICING MODEL
JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS
2022 .06
이 논문의 저자 정보
최근 본 자료
댓글(0)
0