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The prepayment uncertainty of collateralized mortgage obligations

✍ Scribed by Steven E. Plaut

Book ID
117706650
Publisher
Elsevier Science
Year
1991
Tongue
English
Weight
862 KB
Volume
1
Category
Article
ISSN
1051-1377

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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