Keywords: Mathematics
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Journal Articles
Journal Articles
Managerial Finance (1998) 24 (9-10): 94–109.
Published: 01 September 1998
...Jian‐Guo Liu; Eugene Xu Notes the increasing importance of option‐adjusted spread analysis for pricing in the mortgage‐backed securities market and develops a partial differentiation equation method (PDE) for calculation, as an alternative to the Monte Carlo method. Discusses the mathematical...

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