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...

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Bibliographic Details
Main Authors: Tao Pang, Yipeng Yang, Dai Zhao
Format: Article
Language:English
Published: MDPI AG 2015-05-01
Series:International Journal of Financial Studies
Subjects:
Online Access:http://www.mdpi.com/2227-7072/3/2/136