A FIXED-RATE MORTGAGE VALUATION MODEL IN THREE STATE VARIABLES - This article investigates the effect of a two-factor interest rate process on the value of the mortgage and its inherent options including the right to default. Our complete three-state model for a mortgage derivative asset is used to make comparisons with the standard two-state model with the option to default or prepay. With slight ...
| Year of publication: |
2001
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| Authors: | Brunson, Andrew L. ; Kau, James B. ; Keenan, Donald C. |
| Published in: |
The journal of fixed income. - New York, NY : Inst. Investor, Inc., ISSN 1059-8596, ZDB-ID 11161036. - Vol. 11.2001, 1, p. 17-28
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