James B. Kau, Donald C. Keenan, Walter J. Muller III, James F. Epperson, Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed-Rate Mortgages, The Journal of Business, Vol. 66, No. 4 (Oct., 1993), pp. 595-618
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Kau et al. (1993) studied this question.
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