Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options

As applied to the behavior of homeowners with mortgages, option theory predicts that mortgage prepayment or default will be exercised if the call or put option is "in the money" by some specific amount. Our analysis: tests the extent to which the option approach can explain default and pre...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Econometrica 2000-03, Vol.68 (2), p.275-307
Hauptverfasser:	Deng, Yongheng, Quigley, John M., Van Order, Robert
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications Applied sciences Call options Collateralized mortgage obligations Credit risk Default Deferred expenses dependent competing risks Econometrics Exact sciences and technology Financial models Financial risk Insurance, economics, finance Loan defaults Mathematical models Mathematics Modeling Mortgage backed securities Mortgage default Mortgage loans Mortgage markets mortgage pricing Mortgages Nonparametric inference Operational research and scientific management Operational research. Management science Options contracts Portfolio theory prepayment Prepayments Probability and statistics Public debt Put & call options Put options Refinancing Risk Sciences and techniques of general use Securities issues Statistics Studies Unemployment
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!