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 (" …

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 develops a model to rationally price fixed-rate mortgages, using the arbitrage
principles of option pricing theory. The paper incorporates amortization, prepayment and …

One of the major developments in real estate finance during the 1990s was the emergence
of a viable market for commercial mortgage backed securities. The growth in this market has …

The magnitude of the effect of government‐sponsored enterprise purchases on primary
mortgage market rates has been a difficult research question with differing data and …

This article integrates the concepts of insolvency, trigger events, and consumer risk posture
into the theory of single-family mortgage default. It presents a traditional consumer-or choice …

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 …

Loss mitigation is the process by which lenders attempt to minimize losses associated with
foreclosure. As competition increases in the mortgage industry, lenders and servicers are …

The Black-Scholes (1973) option pricing model is a universal standard among option
valuation models. Despite its widespread popularity, however, the model has some known …