Chang, Chia-Chien; Huang, Wei-Yi; Shyu, So-De - In: The Journal of Real Estate Finance and Economics 45 (2012) 4, pp. 846-868
This study provides the valuation of mortgage insurance (MI) considering upward and downward jumps in housing prices, which display separate distributions and probabilities of occurrence, and the mortgage insurer’s default risk. The empirical results indicate that the asymmetric double...