Kariya, Takeaki; Ushiyama, Fumiaki; Pliska, Stanley R. - In: Managerial Finance 37 (2011) October, pp. 1068-1087
Purpose – The purpose of this paper is to generalize the one-factor mortgage-backed securities (MBS)-pricing model proposed by Kariya and Kobayashi to a three-factor model. The authors describe prepayment behavior due to refinancing and rising housing prices by discrete-time, no-arbitrage...
