Pric ing of Mortgage- Backed Se cu ri ties with Option- Adjusted Spread

Jian-Guo Liu University of Maryland Eugene Xu Fixed In come Re search, Credit Su isse First Bos ton

Optimization and Control mathscidoc:1702.27004

Managerial Finance, 24, (9), 94 - 109, 1998.9
In this ar ti cle, the authors de vel oped an al ter na tive meth od ol ogy to cal cu late theoption- adjusted spread for the mortgage- backed se cu ri ties us ing par tial dif fer ential equa tion tech nique. The nu meri cal im ple men ta tion is dis cussed in de tail, includ ing the con ver gence and er ror analy sis. This ap proach pro vides us a fast andac cu rate way to pric ing MBS.
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@inproceedings{jian-guo1998pric,
  title={Pric ing of Mortgage- Backed Se cu ri ties with Option- Adjusted Spread},
  author={Jian-Guo Liu, and Eugene Xu},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20170209125711802704396},
  booktitle={Managerial Finance},
  volume={24},
  number={9},
  pages={94 - 109},
  year={1998},
}
Jian-Guo Liu, and Eugene Xu. Pric ing of Mortgage- Backed Se cu ri ties with Option- Adjusted Spread. 1998. Vol. 24. In Managerial Finance. pp.94 - 109. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20170209125711802704396.
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