A Real Option Approach to the Valuation of the Default Risk of Residential Mortgages
A significant share of many commercial banks’ portfolios consists of residential mortgage loans provided to individuals and families. This paper examines the default and rational prepayment risk of single-borrower (residential) mortgage loans based on an option pricing model that captures the skewne...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-03-01
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| Series: | International Journal of Financial Studies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7072/13/1/31 |
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