Rational Pricing of Adjustable Rate Mortgages

James Kau (), Donald Keenan, Walter Muller and James F. Epperson

Real Estate Economics, 1985, vol. 13, issue 2, 117-128

Abstract: In this paper we develop a general method for valuing adjustable rate mortgages and by producing a set of simulation results, we show that our approach can be implemented. While the simulations are of interest in their own right, we view the approach itself as the major contribution of the paper.

Date: 1985
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