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Mortgage valuation: a quasi-closed-form solution

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  • Cristina Viegas
  • Jos� Azevedo-Pereira

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  • Cristina Viegas & Jos� Azevedo-Pereira, 2012. "Mortgage valuation: a quasi-closed-form solution," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 993-1001, May.
    • Handle: RePEc:taf:quantf:v:12:y:2012:i:7:p:993-1001
    DOI: 10.1080/14697688.2010.492234
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    3. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    4. Downing, Chris & Stanton, Richard & Wallace, Nancy E., 2003. "An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?," Research Program in Finance, Working Paper Series qt2qb613r5, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
    5. Chris Downing & Richard Stanton & Nancy Wallace, 2003. "An empirical test of a two-factor mortgage valuation model: how much do house prices matter?," Finance and Economics Discussion Series 2003-42, Board of Governors of the Federal Reserve System (U.S.).
    6. Kau, James B, et al, 1992. "A Generalized Valuation Model for Fixed-Rate Residential Mortgages," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(3), pages 279-299, August.
    7. Kau, James B & Keenan, Donald C. & Muller III, Walter J. & Epperson, James F., 1990. "Pricing Commercial Mortgages and Their Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 3(4), pages 333-356, December.
    8. Jing-Zhi Huang & Marti G. Subrahmanyam & G. George Yu, 1999. "Pricing And Hedging American Options: A Recursive Integration Method," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 8, pages 219-239, World Scientific Publishing Co. Pte. Ltd..
    9. Bunch, David S & Johnson, Herb, 1992. "A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach," Journal of Finance, American Finance Association, vol. 47(2), pages 809-816, June.
    10. Jimmy E. Hilliard & James B. Kau & V. Carlos Slawson, 1998. "Valuing Prepayment and Default in a Fixed‐Rate Mortgage: A Bivariate Binomial Options Pricing Technique," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(3), pages 431-468, September.
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    12. José A. Azevedo‐Pereira & David P. Newton & Dean A. Paxson, 2002. "UK Fixed Rate Repayment Mortgage and Mortgage Indemnity Valuation," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(2), pages 185-211.
    13. Kau, James B & Keenan, Donald C & Muller, Walter J, III & Epperson, James F, 1993. "Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed-Rate Mortgages," The Journal of Business, University of Chicago Press, vol. 66(4), pages 595-618, October.
    14. Song-Ping Zhu, 2006. "An exact and explicit solution for the valuation of American put options," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 229-242.
    15. Geske, Robert & Johnson, Herb E, 1984. "The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-1524, December.
    16. Burton G. Malkiel, 2003. "Passive Investment Strategies and Efficient Markets," European Financial Management, European Financial Management Association, vol. 9(1), pages 1-10, March.
    17. Peter Carr, 1996. "Valuing Finite-Lived Options as Perpetual," Finance 9607002, University Library of Munich, Germany.
    18. Brian A. Ciochetti & Kerry D. Vandell, 1999. "The Performance of Commercial Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(1), pages 27-61, March.
    19. Kim, In Joon, 1990. "The Analytic Valuation of American Options," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 547-572.
    20. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    21. Schwartz, Eduardo S & Torous, Walter N, 1992. "Prepayment, Default, and the Valuation of Mortgage Pass-through Securities," The Journal of Business, University of Chicago Press, vol. 65(2), pages 221-239, April.
    22. Tyler T. Yang & Henry Buist & Isaac F. Megbolugbe, 1998. "An Analysis of the Ex Ante Probabilities of Mortgage Prepayment and Default," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(4), pages 651-676, December.
    23. Kau, James B. & Keenan, Donald C. & Muller III, Walter J. & Epperson, James F., 1995. "The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment," The Journal of Real Estate Finance and Economics, Springer, vol. 11(1), pages 5-36, July.
    24. Kau, James B. & Keenan, Donald C. & Muller, Walter III & Epperson, James F., 1987. "The valuation and securitization of commercial and multifamily mortgages," Journal of Banking & Finance, Elsevier, vol. 11(3), pages 525-546, September.
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    Cited by:

    1. Shiller, Robert J. & Wojakowski, Rafal M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2019. "Continuous Workout Mortgages: Efficient pricing and systemic implications," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 244-274.
    2. Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2017. "Continuous Workout Mortgages: Efficient Pricing and Systemic Implications," Cowles Foundation Discussion Papers 3016, Cowles Foundation for Research in Economics, Yale University.

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