This article surveys theoretical work on the pricing of mortgages as derivative assets, often
termed the option-pricing approach to mortgage valuation. Emphasis is on the possibility of …

THE PROVISIONS OF A STANDARD FIXED RATE MORTGAGE (FRM) rival those of any
other financial instrument in complexity. The task of this paper is to accurately model the many …

… Were r just the real interest rate, then we might expect p to be negative, since increased real
interest rates should depress the demand for durable assets (see Kau and Keenan [12, 13). …

… income functions for the average DC, M DC (I) and I DC (M), and the average LDC, M LDC
(I) and I LDC (M), are found in figure 4b. If we consider the LDC and DC equilibria to be part …

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 …

While most of the world is thought to be on long-term economic growth paths, more than one-sixth
of the world is roughly as poor today as their ancestors were hundreds of years ago. …

This paper examines the valuation of fixed‐rate mortgages and the pricing of insurance
against default on such mortgages. Both the mortgage and the insurance are treated as …

The same option‐based methodology now commonly used to value mortgages and their
termination features also can be applied to calculate the probabilities that mortgage default will …

Understanding why some human populations remain persistently poor remains a significant
challenge for both the social and natural sciences. The extremely poor are generally reliant …

Looking at a sample of conventional fixed-rate mortgages, this paper examines whether
lending practices are consistent with the competitive hypothesis that the racial and ethnic …