Deng, Yongheng; Quigley, John M.; Order, Robert Van - In: Econometrica 68 (2000) March, pp. 275-308
Option theory predicts that mortgage prepayment or default will be exercised by homeowners if the call or put option is sufficiently "in the money." This analysis: tests the extent to which the option approach explains default and prepayment behavior; evaluates the importance of modeling both...