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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...
Persistent link: https://www.econbiz.de/10010675803
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,...
Persistent link: https://www.econbiz.de/10014940206