𝔖 Bobbio Scriptorium
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UK Fixed Rate Repayment Mortgage and Mortgage Indemnity Valuation

✍ Scribed by José A. Azevedo-Pereira; David P. Newton; Dean A. Paxson


Book ID
110691488
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
441 KB
Volume
30
Category
Article
ISSN
1080-8620

No coin nor oath required. For personal study only.


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Valuing and hedging fixed rate mortgage
✍ Brian A. Maris; Harry L. White 📂 Article 📅 1989 🏛 Springer US 🌐 English ⚖ 548 KB

A fixed rate loan commitment that is binding on the lender but not on the loan applicant is equivalent to a put option. This article uses the Black-Scholes option pricing model to establish a value for fixed rate loan commitments and to derive the hedge ratio for the lending institution to hedge the