Mortgage terminations arise because borrowers exercise options. This paper investigates the apparently irrational behavior of those borrowers who do not terminate their mortgages even when the exercise value of the option is deeply in the money. We develop an option-based empirical model to...

Mortgage terminations arise because borrowers exercise options. Empirically the extent to which the call is in the money is strongly associated with exercise of the prepayment option, and the probability that the put option is in the money is strongly associated with exercise of the default...

Option theory which has dominated residential mortgage prepayment and default research implies that a borrower will exercise prepayment or default options if the call option or put option, respectively, is "in the money" by some optimal amount. Empirical research provides evidence that the...

It is widely recognized that options and futures markets for housing can reduce and manage the risks inherent in consumers’ large investments in housing equity. The integrity of such markets depends, however, upon the use of transparent and replicable benchmarks for house prices and...

Since January of 2005, 250 building projects in the City of Singapore have been awarded the Green Mark for energy efficiency and sustainability. This paper analyzes the private returns to these investments, evaluating the premium in asset values they command in the market. We analyze almost...

As applied to the behavior of homeowners with mortgages, option theory predicts that mortgage prepayment or default will be exercised if the call or put option in "in the money" by some specific amount. Our analysis: tests the extent to which the option approach can explain default and...

Mortgage terminations arise because borrowers exercise options. This paper investigates the apparently irrational behavior of those borrowers who do not terminate their mortgages even when the exercise value of the option is deeply in the money. We develop an option-based empirical model to...

Option theory predicts that mortgage default or prepayment will be exercised if the call or put option is “in the money.” We extend our analysis to commercial mortgages using data from commercial mortgage-backed securities (CMBS). The paper presents a model of the competing risks of mortgage...

This paper presents a unified model of the default and prepayment behavior of homeowners in a proportional hazard framework. The model uses the option-based approach to analyze default and prepayment and considers these two interdependent hazards as competing risks. The results indicate the...