Pricing Mortgages: An Interpretation of the Models and Results / Patric H. Hendershott, Robert Van Order.

Format:

Book

Author/Creator:

Hendershott, Patric H.

Contributor:

National Bureau of Economic Research.

Van Order, Robert.

Series:

Working Paper Series (National Bureau of Economic Research) no. w2290.

NBER working paper series no. w2290

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Pricing Mortgages

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1987.

Summary:

Mortgages, like all debt securities, can be viewed as risk-free assets plus or minus contingent claims that can be usefully viewed as options. The most important options are: prepayment, which is a call option giving the borrower the right to buy back the mortgage at par, and default, which is a put option giving the borrower the right to sell the house in exchange for the mortgage. This paper reviews and interprets the large and growing body of literature that applies recent results of option pricing models to mortgages. We also provide a critique of the models and suggest directions for future research.

Notes:

Print version record

June 1987.