The Value of Mortgage Prepayment and Default Options
نویسندگان
چکیده
and to the National Natural Science Foundation of China (Project No.: 70773119), the National Social Science Foundation of China (Project No.: 08AJL006), the Humanities and Social Science Foundation, Ministry of Education of China (Project No.: 08JC790032), and Project 985, Hunan University, for research support. We especially thank Peter Oliver, University of Nottingham, but remain responsible for any errors.
منابع مشابه
Woodhead 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 ...
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