Computation of hedging coefficients for mortgage default and prepayment options : Malliavin calculus approach
Year of publication: |
2019
|
---|---|
Authors: | Yilmaz, Bilgi ; Selcuk-Kestel, A. Sevtap |
Published in: |
The journal of real estate finance and economics. - Dordrecht : Springer, ISSN 0895-5638, ZDB-ID 1073289-5. - Vol. 59.2019, 4, p. 673-697
|
Subject: | Mortgage default risk | Mortgage prepayment risk | Malliavin calculus | Hedging coefficients | Monte Carlo simulation | Hypothek | Mortgage | Hedging | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Monte-Carlo-Simulation | Insolvenz | Insolvency | CAPM |
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