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Mortgage valuation: a quasi-closed form solution

dc.contributor.authorViegas, Cristina
dc.contributor.authorAzevedo Pereira, José
dc.date.accessioned2014-07-23T15:04:25Z
dc.date.available2014-07-23T15:04:25Z
dc.date.issued2012
dc.date.updated2014-07-16T09:55:13Z
dc.description.abstractThe 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.por
dc.identifier.citationViegas, Cristina; Azevedo-Pereira, José. Mortgage valuation: a quasi-closed form solution, Quantitative Finance, 12, 7, 993-1001, 2012por
dc.identifier.issn1469-7688
dc.identifier.otherAUT: COL00247
dc.identifier.urihttp://hdl.handle.net/10400.1/4825
dc.language.isoporpor
dc.peerreviewedyespor
dc.publisherTaylor & Francispor
dc.subjectMortgage valuationpor
dc.subjectOption valuationpor
dc.subjectQuasi-closed form solutionpor
dc.subjectDefaultpor
dc.titleMortgage valuation: a quasi-closed form solutionpor
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage1001por
oaire.citation.issue7por
oaire.citation.startPage993por
oaire.citation.titleQuantitative Financepor
oaire.citation.volume12por
person.familyNameViegas
person.givenNameCristina
person.identifier.ciencia-id471F-6E12-D698
person.identifier.orcid0000-0001-6234-9070
person.identifier.scopus-author-id55303481900
rcaap.rightsopenAccesspor
rcaap.typearticlepor
relation.isAuthorOfPublicationa6709f88-dd75-44bb-8a99-fe01f5eaf023
relation.isAuthorOfPublication.latestForDiscoverya6709f88-dd75-44bb-8a99-fe01f5eaf023

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