Pricing mortgages: An interpretation of the models and results
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چکیده
منابع مشابه
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15 صفحه اولWoodhead Behavior and the Pricing of Residential Mortgages by
Option theory which has dominated residential mortgage prepayment and default research implies that a borrower will exercise prepayment or default options if the call option or put option, respectively, is "in the money" by some optimal amount. Empirical research provides evidence that the financial value of the call option is strongly associated with exercise of the prepayment option, and the ...
متن کاملWoodhead Behavior and the Pricing of Residential Mortgages
Mortgage terminations arise because borrowers exercise options. This paper investigates the nonoptimal and apparently irrational behavior of those borrowers who do not terminate their mortgages even when the exercise value of the option is deeply in the money. We develop an option-based empirical model to analyze this phenomenon -the behavior of irrational or boundedly rational “woodheads.” Of ...
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ژورنال
عنوان ژورنال: Journal of Financial Services Research
سال: 1987
ISSN: 0920-8550,1573-0735
DOI: 10.1007/bf00114081