Citicorp's mortgage valuation model combines a description of interest rate dynamics and a prepayment model together with a theory of security pricing to produce a measure of valuation called the option-adjusted spread (OAS). The OAS can be used to determine mispricing across both coupons and MBS pr
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Option valuation based on the neural regression model
β Scribed by Po-Chang Ko
- Book ID
- 108127944
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 174 KB
- Volume
- 36
- Category
- Article
- ISSN
- 0957-4174
No coin nor oath required. For personal study only.
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