Explicit tests of contingent claims models of mortgage default

The Journal of Real Estate Finance and Economics

Volumn 11, Issue 2, 1995, Pages 99-117

  Quigley, John M ^a   Van Order, Robert ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b FREDDIE MAC   (United States)

Author keywords

contingent claims; mortgage default; options models

Indexed keywords

EID: 34249754881     PISSN: 08955638     EISSN: 1573045X     Source Type: Journal    
DOI: 10.1007/BF01098656     Document Type: Article

References (23)

1. Evidence on House Prices from FHLMC Repeat Sales
2. The Pricing of Options and Corporate Liabilities
3. Pricing Default Free Mortgages
4. Determinants of GNMA Mortgage Prices
5. The Determinants of Default on Insured Conventional Residential Mortgage Loans
6. Prices of Single-Family Homes Since 1970: New Indexes for Four Cities
7. How State Laws Affect Foreclosure Costs
8. An Intertemporal General Equilibrium Model of Asset Prices
9. Pricing, FHA Default Insurance
10. Mortgage Defaults
11. Valuation of GNMA Mortgage Backed Securities
12. FHA Terminations: A Prelude to Rational Mortgage Pricing
13. The Effect of Interest Rates on Mortgage Prepayments
14. A Generalized Valuation Model for Fixed-Rate Residential Mortgages
15. Default Probabilities for Mortgages
16. Loan Loss Severity and Optimal Mortgage Default
17. Interest Rate Variations, Mortgage Prepayments and Household Mobility
18. Efficiency in the Mortgage Market: The Borrower's Perspective
19. Defaults on Mortgage Obligation and Capital Requirements for U.S. Savings Institutions
20. More on the Efficiency of the Market for Single Family Homes: Default
21. Option Pricing