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The Pricing of Default-Free Mortgages
11 references·1 citing·36 second hop
The Pricing of Default-Free Mortgages (1984)The Pricing of Default-Free MortgagesTheory of rational option pricing (2005)Theory of rational option pri…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Valuation of GNMA Mortgage-Backed Securities (1981)Valuation of GNMA Mortgage-Ba…The Constant Elasticity of Variance Model and Its Implications For Option Pricing (1980)The Constant Elasticity of Va…On the term structure of interest rates (1978)On the term structure of inte…Dividends and taxes (1978)Dividends and taxesAn arbitrage model of the term structure of interest rates (1978)An arbitrage model of the ter…Savings bonds, retractable bonds and callable bonds (1977)Savings bonds, retractable bo…DEBT AND TAXES* (1977)DEBT AND TAXES*An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminations (2002)A Dynamic Analysis of Fixed- …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Pricing of Options and Corporate Liabilities (1973)A Generalized Valuation Model for Fixed-Rate Residential Mortgages (1992)Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)A Multivariate Model of the Term Structure (1980)The Pricing of Options on Debt Securities (1980)The valuation at origination of fixed-rate mortgages with default and prepayment (1995)The cost of capital, corporation finance and the theory of investment (2008)Dividend Policy, Growth, and the Valuation of Shares (1961)Job Market Signaling (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Some anomalous evidence regarding market efficiency (1978)Efficient Capital Markets: II (1991)Is Information Risk a Determinant of Asset Returns? (2002)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Fact and Fantasy in the Use of Options (1975)The valuation of options for alternative stochastic processes (1976)Stock Price Dynamics and Firm Size: An Empirical Investigation (1992)20 Testing option pricing models (1995)Options and Bubbles (2006)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)Waiting to Invest: Investment and Uncertainty (1992)Nonparametric Pricing of Interest Rate Derivative Securities (1995)Asset pricing and the bid-ask spread (1986)Theory of Financial Decision Making. (1988)The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States (2013)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1977DEBT AND TAXES*2,896 cited
  • 1978Dividends and taxes760 cited
  • 1978On the term structure of interest rates659 cited
  • 1981Valuation of GNMA Mortgage-Backed Securities322 cited
  • 1980The Constant Elasticity of Variance Model and Its Implications For Option Pricing280 cited
  • 1977Savings bonds, retractable bonds and callable bonds229 cited
  • 1978An arbitrage model of the term structure of interest rates181 cited

Cited by

  • 2002A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminations81 cited

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