Pang, Tao; Yang, Yipeng; Zhao, Dai - In: International Journal of Financial Studies : open … 3 (2015) 2, pp. 136-150
in calculating the option-adjusted spread (OAS), effective duration (DUR) and effective convexity (CNVX) of MBS … convergence of OAS requires thousands of simulation paths (absolute convergence), only hundreds of paths may be needed to obtain …