Kau, James B.; Keenan, Donald C.; Kim, Taewon - In: Real Estate Economics 21 (1993) 3, pp. 247-263
The same option-based methodology now commonly used to value mortgages and their termination features also can be applied to calculate the probabilities that mortgage default will occur. This paper pursues that idea, and furthermore, enriches the idealized option-based approach by introducing...