VALUES OF MORTGAGES WITH TOP-UP PAYMENT OPTIONS

DOI10.1142/S0219024906003779MaRDI QIDQ5487844zbMATH OpenOpenAlexFDO

Authors Rose Neng Lai, Seow Eng Ong, Tien Foo Sing

Publication date 12 September 2006

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024906003779

zbMATH Keywords

mortgage defaultnegative equitytop-up options

Mathematics Subject Classification ID

Reaction-diffusion equations (35K57)

Recommendations

• Valuing mortgage contracts via an option model
• Default Probabilities for Mortgages
• Pricing home mortgages and bank collateral: a rational expectations approach
• Mortgage valuation and optimal refinancing
• Improving Risk Sharing and Borrower Incentives in Mortgage Design

Cites work

• scientific article; zbMATH DE number 5016666 (Why is no real title available?)
• A theory of the term structure of interest rates
• Default Probabilities for Mortgages
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• The pricing of options and corporate liabilities

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