Kariya,T and Kobayashi M.(2000).
Pricing Mortgage-Backed Securities(MBS) - A model Describing the Burnout Effect -
Asia-Pacific Financial Markets

abstract

    This paper presents a pricing formula for MBS�fs and proposes a specific model for MBS prices which describes the so-called burnout phenomenon of prepayments due to refinancing. A numerical example for the model is demonstrated by Monte Carlo simulation. Also an estimation procedure is described.

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