In:
Managerial Finance, Emerald, Vol. 24, No. 9/10 ( 1998-09-01), p. 94-109
Abstract:
Notes the increasing importance of option‐adjusted spread analysis for pricing in the mortgage‐backed securities market and develops a partial differentiation equation method (PDE) for calculation, as an alternative to the Monte Carlo method. Discusses the mathematical theory involved and illustrates its use with a numerical example. Claims PDE is more accurate and cheaper than the Monte Carlo method and promises a further article on using it for horizon analysis and risk management.
Type of Medium:
Online Resource
ISSN:
0307-4358
DOI:
10.1108/03074359810765796
Language:
English
Publisher:
Emerald
Publication Date:
1998
detail.hit.zdb_id:
2047612-7
SSG:
3,2
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