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Citicorp's mortgage valuation model: Option-adjusted spreads and option-based durations |
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| Authors: | Alan Jay Brazil Ph.D. |
| Affiliation: | (1) Citicorp Investment Bank, Fixed Income Research, USA |
| Abstract: | |
| Keywords: | option-adjusted spread option-based duration mortgage valuation mortgage-backed securities |
| 本文献已被 SpringerLink 等数据库收录！ | |