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 (" …

This article presents a new model of mortgage prepayments, based on rational decisions by
mortgage holders. These mortgage holders face heterogeneous transaction costs, which are …

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 …

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 …

In the past five years, many sophisticated models for pricing credit risk have been
developed. The rapid progress in this area is primarily a result of the growth of credit …

This paper is the text of the 1992 Presidential Address for the American Real Estate and
Urban Economics Association. A comparative evaluation of mortgage default research finds …

This paper examines the theory of commercial mortgage default and tests it using a data set
of 2,899 loan histories provided by a major multi‐line insurance company. A default model is …

This article examines the cross‐sectional and time‐series determinants of commercial
mortgage credit spreads as well as the terms of the mortgages. Consistent with theory, our …