We investigate the effect of adding a distinct feature of the Danish mortgage market to the US market, namely a buyback option, which enables mortgagors to buy back their share of the mortgage bond at market price. Extending a standard referenced pricing-model, we find that the introduction of...

This paper investigates the effect of adding a distinct feature of the Danish mortgage market to the market in the United States. This feature, a buyback option, enables mortgagors to buy back their share of the mortgage-backed security at market price. Extending a standard referenced pricing...