Nick J. Sharp

Nottingham University Business School (NUBS)

Research Fellow

Jubilee Campus

Wollaton Road

Nottingham, NG8 1BB

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

342

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Enhanced Finite-Difference Techniques for Early-Exercise Options on Single and Multiple Underlyings

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 31 Posted: 23 Aug 2007
University of Manchester, Nottingham University Business School (NUBS), University of Manchester - Department of Mathematics and University of Bath - School of Management
Downloads 342 (113,067)
Citation 1

Abstract:

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American options, multi asset, finite difference, PSOR

2.

A New Prepayment Model (with Default): An Occupation-Time Derivative Approach

Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009
Posted: 08 May 2009
Nottingham University Business School (NUBS), University of Manchester, University of Bath - School of Management and University of Manchester - Department of Mathematics

Abstract:

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prepayment, fixed-rate mortgages, option-pricing theory, occupation-time derivatives, Parisian options

3.

An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options

Journal of Real Estate Finance and Economics, Vol. 36, No. 3, 2008
Posted: 20 Oct 2007 Last Revised: 15 Jul 2008
Nick J. Sharp, Peter Duck and David Newton
Nottingham University Business School (NUBS), University of Manchester - Department of Mathematics and University of Bath - School of Management

Abstract:

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fixed-rate mortgages, option pricing theory, perturbation theory, prepayment, default