Epperson, James F.; Kau, James B.; Keenan, Donald C.; … - In: Real Estate Economics 13 (1985) 3, pp. 261-272
This paper examines the valuation of fixed-rate mortgages and the pricing of insurance against default on such mortgages. Both the mortgage and the insurance are treated as compound European put options. A put is the right, but not the obligation, to turn over an asset to another party for a...