Valuation of Path-Dependent Interest Rate Derivatives in a Finite Difference Setup
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- Stanton, Richard & Wallace, Nancy, 1999. "Anatomy of an ARM: The Interest-Rate Risk of Adjustable-Rate Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 19(1), pages 49-67, July.
- repec:bla:jfinan:v:44:y:1989:i:2:p:375-92 is not listed on IDEAS
- Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
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Keywords
Path-dependent Options; Finite Difference; Mortgage Backed Securities;All these keywords.
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