Convergence studies on Monte Carlo methods for pricing mortgage-backed securities
Year of publication: |
2015
|
---|---|
Authors: | Pang, Tao ; Yang, Yipeng ; Zhao, Dai |
Published in: |
International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 3.2015, 2, p. 136-150
|
Subject: | Monte Carlo method | mortgage-backed securities (MBS) | coefficient of variation (CV) | absolute convergence | relative convergence | option-adjusted spread (OAS) | effective duration (DUR) | effective convexity (CNVX) | Greeks | Monte-Carlo-Simulation | Monte Carlo simulation | Asset-Backed Securities | Asset-backed securities | Wirtschaftliche Konvergenz | Economic convergence | Hypothek | Mortgage | Optionspreistheorie | Option pricing theory |
Extent: | graph. Darst. |
---|---|
Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/ijfs3020136 [DOI] hdl:10419/167778 [Handle] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; C63 - Computational Techniques |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Convergence studies on Monte Carlo methods for pricing mortgage-backed securities
Pang, Tao, (2015)
-
Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
Pang, Tao, (2016)
-
Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
Pang, Tao, (2015)
- More ...
-
Convergence studies on Monte Carlo methods for pricing mortgage-backed securities
Pang, Tao, (2015)
-
Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
Pang, Tao, (2016)
-
Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
Pang, Tao, (2015)
- More ...