A New Prepayment Model (with Default): An Occupation-time Derivative Approach

Nicholas Sharp (), Paul Johnson (), David Newton () and Peter Duck ()

The Journal of Real Estate Finance and Economics, 2009, vol. 39, issue 2, 118-145

Keywords: Prepayment; Fixed-rate mortgages; Option-pricing theory; Occupation-time derivatives; Parisian options (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s11146-008-9105-7

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