1 option
Pricing Adjustable Rate Mortgages / Patric H. Hendershott.
- Format:
- Book
- Author/Creator:
- Hendershott, Patric H.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w1548.
- NBER working paper series no. w1548
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1985.
- Summary:
- This paper provides a framework for pricing adjustable rate mortgages and summarizes some evidence on the prices (additions to the coupon rate) necessary to cover expected losses from binding of varios interest rate caps and from mortgage default and foreclosure. Both interst rate and default risk are shown to be heavily inluenced by the form of the mortgage instrument as well as the underlying drift and uncertainty in interest rates and house prices.
- Notes:
- Print version record
- 1985.
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