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Volumn 12, Issue 2, 1996, Pages 179-194

Mortgage prepayment with an uncertain holding period

Author keywords

Holding period; Mortgage prepayment; Options; Refinancing

Indexed keywords


EID: 21344453953     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF00132266     Document Type: Article
Times cited : (8)

References (23)
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    • Archer, W.R.1    Ling, D.C.2
  • 3
    • 0000874656 scopus 로고
    • Pricing of Default-Free Mortgages
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  • 6
    • 0001160416 scopus 로고
    • The Relevance of Interest Rate Processes in Pricing Mortgage-Backed Securities
    • Chen, Ren-Raw, and T.L. Tyler Yang. (1995). "The Relevance of Interest Rate Processes in Pricing Mortgage-Backed Securities," Journal of Housing Research 6(2), 315-332.
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    • Chen, R.-R.1    Tyler Yang, T.L.2
  • 7
    • 0001205798 scopus 로고
    • A Theory of the Term Structure of Interest Rates
    • Cox, John C., Jonathan E. Ingersoll, and Steve A. Ross. (1985). "A Theory of the Term Structure of Interest Rates," Econometrica 53(2), 385-407.
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    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 8
    • 84977388192 scopus 로고
    • A Reexamination of Traditional Hypothesis about the Term Structure of Interest Rates
    • Cox, John C., Jonathan E. Ingersoll, and Steve A. Ross. (1981). "A Reexamination of Traditional Hypothesis About the Term Structure of Interest Rates," Journal of Finance 36(4), 769-799.
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  • 9
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    • Valuation of GNMA Mortgage Backed Securities
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    • Dunn, K.B.1    McConnell, J.J.2
  • 11
    • 0002322083 scopus 로고
    • Private Information and Incentives: Implications for Mortgage Contract Terms and Pricing
    • Dunn, Kenneth B., and Chester S. Spatt. (1988b). "Private Information and Incentives: Implications for Mortgage Contract Terms and Pricing," Journal of Real Estate Finance and Economics 1(1), 47-60.
    • (1988) Journal of Real Estate Finance and Economics , vol.1 , Issue.1 , pp. 47-60
    • Dunn, K.B.1    Spatt, C.S.2
  • 12
    • 27544444064 scopus 로고
    • The Interest Rate Differential and Refinancing a Home Mortgage
    • Follain, James R., and Dan-Nein Tzang. (1988). "The Interest Rate Differential and Refinancing a Home Mortgage," The Appraisal Journal 61, 243-251.
    • (1988) The Appraisal Journal , vol.61 , pp. 243-251
    • Follain, J.R.1    Tzang, D.-N.2
  • 14
    • 0003035053 scopus 로고
    • The Effects of Interest Rates on Mortgage Prepayments
    • Green, Jerry, and John B. Shoven. (1986). "The Effects of Interest Rates on Mortgage Prepayments," Journal of Money, Credit, and Banking 18(1), 41-59.
    • (1986) Journal of Money, Credit, and Banking , vol.18 , Issue.1 , pp. 41-59
    • Green, J.1    Shoven, J.B.2
  • 19
    • 0000904401 scopus 로고
    • Prepayment, Default and the Valuation of Mortgage Pass-Through Securities
    • Schwartz, Eduarde, and Walter Torous. (1992). "Prepayment, Default and the Valuation of Mortgage Pass-Through Securities," Journal of Business 65(2), 221-239.
    • (1992) Journal of Business , vol.65 , Issue.2 , pp. 221-239
    • Schwartz, E.1    Torous, W.2
  • 20
    • 21844517112 scopus 로고
    • Rational Prepayment and the Valuation of Mortgage-Backed Securities
    • Forthcoming
    • Stanton, Richard. (1995). "Rational Prepayment and the Valuation of Mortgage-Backed Securities," Review of Financial Studies, Forthcoming.
    • (1995) Review of Financial Studies
    • Stanton, R.1
  • 21
    • 84977701086 scopus 로고
    • Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt
    • Titman, Sheridan, and Walter Torous. (1989). "Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt," Journal of Finance 44(2), 345-373.
    • (1989) Journal of Finance , vol.44 , Issue.2 , pp. 345-373
    • Titman, S.1    Torous, W.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.