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The effect of prepayment penalties on the pricing of subprime mortgages

✍ Scribed by Gregory Elliehausen; Michael E. Staten; Jevgenijs Steinbuks

Book ID
118475211
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
183 KB
Volume
60
Category
Article
ISSN
0148-6195

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## Abstract We use an implicit alternating direction numerical procedure to estimate the value of a fixed‐rate mortgage (FRM) with embedded default and prepayment options. The value of FRMs depends on interest rates, the house value, and mortgage maturity. Our numerical results suggest that the joi