Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities
Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only, numer...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2015-05-01
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Series: | International Journal of Financial Studies |
Subjects: | |
Online Access: | http://www.mdpi.com/2227-7072/3/2/136 |