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A Lattice Approach to Pricing Fixed-Rate Mortgages with Default and Prepayment Options

✍ Scribed by Wai K. Leung; C. F. Sirmans

Book ID
110692653
Publisher
John Wiley and Sons
Year
1990
Tongue
English
Weight
875 KB
Volume
18
Category
Article
ISSN
1080-8620

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✍ Jangkoo Kang; Hwa-Sung Kim πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 137 KB πŸ‘ 1 views

## Abstract This paper studies a Markov chain model that, unlike the existing models, has a stochastic default rate model so as to reflect real world phenomena. We extend the existing Markov chain models as follows: First, our model includes both the economy‐wide and the rating‐specific factors, wh