A three‐factor valuation model for mortgage‐backed securities (MBS)
Year of publication: |
2011
|
---|---|
Authors: | Kariya, Takeaki ; Ushiyama, Fumiaki ; Pliska, Stanley R. |
Other Persons: | Sathye, Milind (ed.) |
Published in: |
Managerial Finance. - Emerald Group Publishing Limited, ISSN 1758-7743, ZDB-ID 2047612-7. - Vol. 37.2011, 11, p. 1068-1087
|
Publisher: |
Emerald Group Publishing Limited |
Subject: | Securities | Pricing | Cash flow | Mortgage‐backed securities (MBS) | Discrete time three‐factor model | Refinance | Prepayment behaviour | Burnout‐effect |
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