Premium
Rational Pricing of Adjustable Rate Mortgages
Author(s) -
Kau James B.,
Keenan Donald C.,
Muller Walter J.,
Epperson James F.
Publication year - 1985
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00344
Subject(s) - interest rate , economics , set (abstract data type) , floating interest rate , rational expectations , mathematical economics , econometrics , computer science , financial economics , microeconomics , finance , programming language
In this paper we develop a general method for valuing adjustable rate mortgages and by producing a set of simulation results, we show that our approach can be implemented. While the simulations are of interest in their own right, we view the approach itself as the major contribution of the paper.