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, pages 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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