New method of pricing mortgage-backed securities

被引：0

作者：

Duan Xiao-mei

Lu Run-de

Zheng Yi

机构：

来源：

PROCEEDINGS OF THE INTERNATIONAL SYMPOSIUM ON FINANCIAL ENGINEERING AND RISK MANAGEMENT 2008 | 2008年

关键词：

mortgage-backed securities (MBS); pricing; non-discriminatory;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

At present, the method of pricing mortgage-backed securities is mainly from the average of discounting cash flow, which is under a risk-neutral and ignores the price of mortgage-backed securities is determined by the attitude of investors to risk. The paper presents MBS utility non-discriminatory pricing, which applies utility non-discriminatory pricing principle of Hodges and Neuberger (1989). On the assumption that investors have utility of log-consumption, the paper is easy to realize MBS pricing formula and give Monte Carlo numerical calculation methods and applications.

引用

页码：195 / 200

页数：6

共 12 条

[1]

BUSER SA, 1984, HOUSING FINANC REV, V3, P405

[2] Utility maximization under increasing risk aversion in one-period models [J].