Doctoral Dissertations
Date of Award
12-1989
Degree Type
Dissertation
Degree Name
Doctor of Philosophy
Major
Business Administration
Major Professor
Ronnie J. Clayton
Committee Members
Michael Ehrhardt, Thomas P. B.
Abstract
This study examines the use of two-state option pricing techniques in the valuation of mortgage-backed securities. A mortgage-backed security pricing model is developed, price estimates are generated, and the price estimates are compared with actual market prices. The accuracy of the pricing model is shown to be quite good and comparable to that of more sophisticated continuous time models.
Recommended Citation
Johnson, David W., "Pricing mortgage-backed securities : an options approach. " PhD diss., University of Tennessee, 1989.
https://trace.tennessee.edu/utk_graddiss/11701
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