منابع مشابه
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Analytical valuation of mortgage-backed securities (MBS) requires a process for generating future interest rates to value the embedded prepayment option. While many single-factor interest rate models are available, no systematic comparison of their effects on MBS values has been published. This article compares valuation results using three such processes—a simple log-normal process; the square...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 1996
ISSN: 0378-4266
DOI: 10.1016/0378-4266(95)00045-3