Rational Pricing of Adjustable Rate Mortgages
作者： James B. Kau , Donald C. Keenan , Walter J. Muller , James F. Epperson
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摘要: In this paper we develop a general method for valuing adjustable rate mortgages and by producing set of simulation results, show that our approach can be implemented. While the simulations are interest in their own right, view itself as major contribution paper.
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