An Approximate Closed Formula for European Mortgage Options
The aim of this paper is to investigate the use of close formula approximation for pricing European mortgage options. Under the assumption of logistic duration and normal mortgage rates the underlying price at the option expiry is approximated by shifted lognormal or regular lognormal distribution ...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Sociedade Brasileira de Matemática Aplicada e Computacional
2023-07-01
|
| Series: | Trends in Computational and Applied Mathematics |
| Subjects: | |
| Online Access: | https://tcam.sbmac.org.br/tema/article/view/1621 |