Pricing Mortgages: An Interpretation of the Models and Results

Patric Hendershott and Robert Van Order

No 2290, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Mortgages, like all debt securities, can be viewed as risk-free assets plus or minus contingent claims that can be usefully viewed as options. The most important options are: prepayment, which is a call option giving the borrower the right to buy back the mortgage at par, and default, which is a put option giving the borrower the right to sell the house in exchange for the mortgage. This paper reviews and interprets the large and growing body of literature that applies recent results of option pricing models to mortgages. We also provide a critique of the models and suggest directions for future research.

Date: 1987-06
Note: ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (47)

Published as From Journal of Financial Services Research, Vol. 1, No. 1, pp. 19-55,(October 1987).

Downloads: (external link)
http://www.nber.org/papers/w2290.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:2290

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w2290

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().