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UK Fixed Rate Repayment Mortgage and Mortgage Indemnity Valuation

Azevedo-Pereira, José A.; Newton, David P.; Paxson, Dean A. - In: Real Estate Economics 30 (2002) 2, pp. 185-211

We use a mean-reverting interest rate model and a lognormal house price diffusion model to evaluate British fixed rate repayment mortgage contracts with (embedded) default and prepayment options. The model also provides values for capped mortgage indemnity guarantees and the corresponding...

Persistent link: https://www.econbiz.de/10005217378

Fixed-Rate Endowment Mortgage and Mortgage Indemnity Valuation

Azevedo-Pereira, José A.; Newton, David P.; Paxson, Dean A. - In: The journal of real estate finance and economics 26 (2003) 2, pp. 197-222

Persistent link: https://www.econbiz.de/10007106415

Corrigendum to "Universal option valuation using quadrature methods": [Journal of Financial Economics 67 (2003) 447-471]

Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: Journal of Financial Economics 73 (2004) 3, pp. 603-603

Persistent link: https://www.econbiz.de/10005362688

Universal option valuation using quadrature methods

Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: Journal of Financial Economics 67 (2003) 3, pp. 447-471

Persistent link: https://www.econbiz.de/10005362900

SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING

Duck, Peter W.; Yang, Chao; Newton, David P.; Widdicks, … - In: Mathematical Finance 19 (2009) 3, pp. 457-486

Persistent link: https://www.econbiz.de/10005023793

Application of option pricing theory to R & D

Newton, David P. - 1992

Persistent link: https://www.econbiz.de/10004183248

Enhancing the Accuracy of Pricing American and Bermudan Options

Duck, Peter W.; Newton, David P.; Widdicks, Martin; … - In: The journal of derivatives : the official publication … 12 (2005) 4, pp. 34-44

Persistent link: https://www.econbiz.de/10005921778

Curtailing the Range for Lattice and Grid Methods

Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: The journal of derivatives : the official publication … 11 (2004) 4, pp. 55-61

Persistent link: https://www.econbiz.de/10005926804

Corrigendum to "Universal option valuation using quadrature methods" - (Journal of Financial Economics 67 (2003) 447-471)

Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: Journal of financial economics 73 (2004) 3, pp. 603-604

Persistent link: https://www.econbiz.de/10006503431

Universal option valuation using quadrature methods

Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: Journal of financial economics 67 (2003) 3, pp. 447-472

Persistent link: https://www.econbiz.de/10006507472