✦ LIBER ✦

Waiting to Default: The Value of Delay

✍ Scribed by James B. Kau; Taewon Kim

Book ID: 110692701
Publisher: John Wiley and Sons
Year: 1994
Tongue: English
Weight: 841 KB
Volume: 22
Category: Article
ISSN: 1080-8620
DOI: 10.1111/1540-6229.00648

No coin nor oath required. For personal study only.

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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