Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.1/4825
Título: Mortgage valuation: a quasi-closed form solution
Autor: Viegas, Cristina
Azevedo Pereira, José
Palavras-chave: Mortgage valuation
Option valuation
Quasi-closed form solution
Default
Data: 2012
Editora: Taylor & Francis
Citação: Viegas, Cristina; Azevedo-Pereira, José. Mortgage valuation: a quasi-closed form solution, Quantitative Finance, 12, 7, 993-1001, 2012
Resumo: The main objective of this study consists in developing a quasi-analytical solution for the valuation of commercial mortgages. We consider the existence of a single source of risk - the risk of defaulting on a mortgage - and therefore, the existence of a single state variable - the value of the mortgaged property. The value of the mortgage corresponds to the present value of the future payments on the loan, minus the value of the embedded American default option. The major difficulty in designing such a model consists in calculating the value of this option, since for that purpose it is necessary to determine the lowest property price below which it must be immediately exercised, i.e. the critical value of the property.
Peer review: yes
URI: http://hdl.handle.net/10400.1/4825
ISSN: 1469-7688
Aparece nas colecções:FEC2-Artigos (em revistas ou actas indexadas)

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