A Closed-Form Pricing Formula for Mortgages Incorporating Termination Hazard Rates and Recovery Rate as Correlated Stochastic Processes with Jump Components
Ming-Shann Tsai and Shu-Ling Chiang
The Journal of Derivatives Spring 2012, 19 (3) 49-68; DOI: https://doi.org/10.3905/jod.2012.19.3.049
Ming-Shann Tsai
is an assistant professor in the Department of Finance at National University of Kaohsiung in Kaohsiung, Taiwan.
Shu-Ling Chiang
is an associate professor in the Department of Business Management at National Kaohsiung Normal University in Kaohsiung, Taiwan.
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A Closed-Form Pricing Formula for Mortgages Incorporating Termination Hazard Rates and Recovery Rate as Correlated Stochastic Processes with Jump Components
Ming-Shann Tsai, Shu-Ling Chiang
The Journal of Derivatives Feb 2012, 19 (3) 49-68; DOI: 10.3905/jod.2012.19.3.049