THERE is an old saying that "history repeats itself," and although this may not be literally true I think we will all agree that it is necessary to study the past in order to obtain a clear vision of the future . This is true whether we are considering the future of a nation, a man, or a meter ; we
The probability of prepayment
β Scribed by Peter Chinloy
- Publisher
- Springer US
- Year
- 1989
- Tongue
- English
- Weight
- 887 KB
- Volume
- 2
- Category
- Article
- ISSN
- 0895-5638
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract We use an implicit alternating direction numerical procedure to estimate the value of a fixedβrate 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
A discrete-time-option pricing model is developed to value a mortgage and its embedded prepayment option when the effective life of the mortgage is a random variable with a probability distribution of known parameters. The model can be applied when the borrower's ex ante expectation of his tenure fo