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Reduced form mortgage pricing as an alternative to option-pricing models

Kau, James B.; Keenan, Donald C.; Smurov, Alexey A. - In: The journal of real estate finance and economics 33 (2006) 3, pp. 183-196

Persistent link: https://www.econbiz.de/10003395831

Catastrophic default and credit risk for lending institutions

Kau, James B.; Keenan, Donald C. - In: Journal of financial services research : JFSR 15 (1999) 2, pp. 87-102

Persistent link: https://www.econbiz.de/10001424722

A fixed-rate mortgage valuation model in three state variables

Brunson, Andrew L.; Kau, James B.; Keenan, Donald C. - In: The journal of fixed income 11 (2001) 1, pp. 17-27

Persistent link: https://www.econbiz.de/10001595320

Frictions, heterogeneity and optimality in mortgage modeling

Kau, James B.; Slawson, V. Carlos - In: The journal of real estate finance and economics 24 (2002) 3, pp. 239-260

Persistent link: https://www.econbiz.de/10001697880

Liability distributions for mortgage insurance

Kau, James B.; Keenan, Donald C.; Kim, Taewon - In: The journal of risk and insurance : the journal of the … 68 (2001) 3, pp. 475-488

Persistent link: https://www.econbiz.de/10001648335

Pricing a class of American and European path dependent securities

Hilliard, Jimmy E.; Kau, James B.; Keenan, Donald C.; … - In: Management science : journal of the Institute for … 41 (1995) 12, pp. 1892-1899

Persistent link: https://www.econbiz.de/10001196045

Valuing prepayment and default in a fixed-rate mortgage : a bivariate binominal options pricing technique

Hilliard, Jimmy E. - In: Real estate economics : journal of the American Real … 26 (1998) 3, pp. 431-468

Persistent link: https://www.econbiz.de/10001249229

An option-theoretic model of catastrophes applied to mortgage insurance

Kau, James B. - In: The journal of risk and insurance : the journal of the … 63 (1996) 4, pp. 639-656

Persistent link: https://www.econbiz.de/10001335130

The valuation at origination of fixed-rate mortgages with default and prepayment

Kau, James B.; Keenan, Donald C.; Muller, Walter J.; … - In: The journal of real estate finance and economics 11 (1995), pp. 5-36

Persistent link: https://www.econbiz.de/10001183762

Development Value : A Real Options Approach Using Empirical Data

Grovenstein, Robert - 2011

This paper combines an empirical methodology and a theoretical options approach to determine the real option values of development and delay for vacant parcels of land in the City of Chicago. A theoretical options model provides an option price that incorporates future uncertainty. The data...

Persistent link: https://www.econbiz.de/10013121684