Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
Year of publication: |
2015
|
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Authors: | Pang, Tao ; Yang, Yipeng ; Zhao, Dai |
Published in: |
International Journal of Financial Studies. - MDPI, Open Access Journal, ISSN 2227-7072. - Vol. 3.2015, 2, p. 136-150
|
Publisher: |
MDPI, Open Access Journal |
Subject: | Monte Carlo method | mortgage-backed securities (MBS) | coefficient ofvariation (CV) | absolute convergence | relative convergence | option-adjusted spread (OAS) | effective duration (DUR) | effective convexity (CNVX) | Greeks |
Extent: | application/pdf text/html |
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Type of publication: | Article |
Classification: | G1 - General Financial Markets ; G2 - Financial Institutions and Services ; G3 - Corporate Finance and Governance ; F2 - International Factor Movements and International Business ; F3 - International Finance ; F41 - Open Economy Macroeconomics ; F42 - International Policy Coordination and Transmission |
Source: |
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