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- W2045346073 abstract "To value mortgage‐backed securities and options on fixed‐income securities, it is necessary to make assumptions regarding the term structure of interest rates. We assume that the multi‐factor fixed parameter term structure model accurately represents the actual term structure of interest rates, and that the values of mortgage‐backed securities and discount bond options derived from such a term structure model are correct. Differences in the prices of interest rate derivative securities based on single‐factor term structure models are therefore due to pricing bias resulting from the term structure model. The price biases that result from the use of single‐factor models are compared and attributed to differences in the underlying models and implications for the selection of alternative term structure models are considered." @default.
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- W2045346073 date "1999-01-01" @default.
- W2045346073 modified "2023-09-24" @default.
- W2045346073 title "Valuing Fixed-Income Options and Mortgage-Backed Securities with Alternative Term Structure Models" @default.
- W2045346073 doi "https://doi.org/10.1111/1468-5957.00247" @default.
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