THE COMPLEXITIES OF MORTGAGE OPTIONS - Mortgage option prices behave quite differently than the prices of options on underlying securities that do not exhibit significant convexity. As a result, the intuition of many market participants about option risk characteristics does not typically apply to mortgage options. The author explores and quantifies the risk characteristics of these options. The ...
Year of publication: |
2003
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Authors: | Prendergast, Joseph R. |
Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 12.2003, 4, p. 7-24
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