Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
نویسندگان
چکیده
منابع مشابه
Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only, numerical method. In practice, while simulation processes in option-adjusted valuation can be relative...
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ژورنال
عنوان ژورنال: International Journal of Financial Studies
سال: 2015
ISSN: 2227-7072
DOI: 10.3390/ijfs3020136