Author:
Publisher:
ISBN:
Category : Mortgage loans
Languages : en
Pages : 130
Book Description
Option Theory and Fixed Rate Mortgages
A Study of the Behavior of Fixed Rate Mortgages for Alternative Contracts Using Option Pricing Theory
Author: Lawrence Kein-Hoong Chin
Publisher:
ISBN:
Category :
Languages : en
Pages : 184
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 184
Book Description
The Pricing of the Intersected Contingent Claims and the Fixed Rate Mortgage
The Valuation at Origination of Fixed Rate Mortgages with Default and Prepayment
Author: James B. Kau
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper develops a model to rationally price fixed rate mortgages, using the arbitrage principles of option pricing theory. The paper incorporates amortization, prepayment and default in valuing the mortgage. Having completely specified the model, numerical procedures value the different features of the mortgage contract under a variety of economic conditions. The necessity of having both the interest rate and the house price as explanatory variables, due to the interaction of default and prepayment, is demonstrated. The numerical solutions presented center around mortgage pricing at origination. Thus, variations in the equilibrium contract rate are examined for differing economic conditions and changes in the contract. Finally, by presenting a complete model, the paper yields insights for the existence of common institutional practices.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper develops a model to rationally price fixed rate mortgages, using the arbitrage principles of option pricing theory. The paper incorporates amortization, prepayment and default in valuing the mortgage. Having completely specified the model, numerical procedures value the different features of the mortgage contract under a variety of economic conditions. The necessity of having both the interest rate and the house price as explanatory variables, due to the interaction of default and prepayment, is demonstrated. The numerical solutions presented center around mortgage pricing at origination. Thus, variations in the equilibrium contract rate are examined for differing economic conditions and changes in the contract. Finally, by presenting a complete model, the paper yields insights for the existence of common institutional practices.
Pricing Fixed Rate Mortgages
Author: Fernando Diz
Publisher:
ISBN:
Category : Mortgage loans
Languages : en
Pages : 228
Book Description
Publisher:
ISBN:
Category : Mortgage loans
Languages : en
Pages : 228
Book Description
Valuing Prepayment and Default in a Fixed Rate Mortgage
Author: Jimmy E. Hilliard
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper uses a bivariate binomial options pricing technique to value the prepayment and default options in a fixed-rate mortgage. The American style options are dependent on two stochastic variables: (1) house price, (2) one year spot rate. The paper uses the standard lognormal process for house price and the CIR square-root process for interest rates. By forcing the two underlying state variables to undergo transformations, two new uncorrelated variables with constant volatilities are established. With constant volatilities, a computationally simple bivariate binomial tree is formed which greatly reduces the complexity of working with two state variables and is pedagogicallyuseful. Using this procedure, the price of any real estate contingent claim whose value is dependent on the one year spot rate and house price can be determined. Results are compared with those from a finite difference model.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper uses a bivariate binomial options pricing technique to value the prepayment and default options in a fixed-rate mortgage. The American style options are dependent on two stochastic variables: (1) house price, (2) one year spot rate. The paper uses the standard lognormal process for house price and the CIR square-root process for interest rates. By forcing the two underlying state variables to undergo transformations, two new uncorrelated variables with constant volatilities are established. With constant volatilities, a computationally simple bivariate binomial tree is formed which greatly reduces the complexity of working with two state variables and is pedagogicallyuseful. Using this procedure, the price of any real estate contingent claim whose value is dependent on the one year spot rate and house price can be determined. Results are compared with those from a finite difference model.
Consumer Mortgage Choice Between Fixed-rate Mortgages and Adjustable-rate Mortgages
Financial Options
Author: Stephen Figlewski
Publisher: McGraw-Hill Companies
ISBN: 9781556238727
Category : Business & Economics
Languages : en
Pages : 596
Book Description
Financial Options links option theory with practical applications. Readers will find this book's approach simple to follow, with information organized for easy access that includes: institutional and theoretical frameworks for understanding options and option markets; how to apply option pricing models to specific types of markets; the numerical methods that must be applied to solve many option valuation problems.
Publisher: McGraw-Hill Companies
ISBN: 9781556238727
Category : Business & Economics
Languages : en
Pages : 596
Book Description
Financial Options links option theory with practical applications. Readers will find this book's approach simple to follow, with information organized for easy access that includes: institutional and theoretical frameworks for understanding options and option markets; how to apply option pricing models to specific types of markets; the numerical methods that must be applied to solve many option valuation problems.
Valuing a Fixed-rate Mortgage
Author: Vester Carlos Slawson
Publisher:
ISBN:
Category :
Languages : en
Pages : 266
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 266
Book Description
The Variable-rate Mortgage and Risk in the Mortgage Market
Author: Chapman Findlay
Publisher:
ISBN:
Category : Adjustable rate mortgages
Languages : en
Pages : 364
Book Description
Publisher:
ISBN:
Category : Adjustable rate mortgages
Languages : en
Pages : 364
Book Description