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Valuing the Defeasance Option in Securitized Commercial Mortgages

✍ Scribed by Martin Dierker; Daniel Quan; Walter Torous

Book ID
109174708
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
149 KB
Volume
33
Category
Article
ISSN
1080-8620

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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