Liao, Szu-Lang; Tsai, Ming-Shann; Chiang, Shu-Ling - In: Real Estate Economics 36 (2008) 2, pp. 313-347
Valuing mortgage-related securities is more complicated than valuing regular defaultable claims due to the borrower's prepayment behavior as well as the possibility of default. Some researchers use a structural-form model to obtain the closed-form formulas for the mortgage value. With this...