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 …

Pure option-theoretic mortgage pricing models assume that the borrower will default
immediately when the value of the property drops to the level of the mortgage value (" …

Recent declines in housing prices have focused attention on the relationship between
negative housing equity and mortgage default. Theory implies that negative equity is a …

Abstract Models now exist for valuing the default option embedded in a mortgage. Implicitly,
these models generate all the information necessary to determine the probability of default …

This paper empirically investigates a contingent‐claims model of commercial mortgage
pricing. We find that the magnitude of the observed default premia for a sample of …

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 …

Option–based models of mortgage default posit that the central measure of default risk is the
loan–to–value (LTV) ratio. We argue, however, that an unrecognized problem with …

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 …

Over the last ten years, single-family mortgage lenders have become more aware of the
financial benefits of finding alternatives to foreclosure for borrowers who default on their …

This article surveys mainly academic literature for issues concerning the use of appraisals in
the residential lending process. The development of appraisal methodologies is reviewed …