Rational Pricing of Adjustable Rate Mortgages |
| |
| Authors: | James B. Kau Donald C. Keenan Walter J. Muller III James F. Epperson |
| |
| Affiliation: | Faculty of Real Estate, College of Business Administration, The University of Georgia, Athens, Georgia 30602.;Department of Economics, College of Business Administration, The University of Georgia.;Federal Home Loan Mortgage Corporation, 1776 G Street NW, P.O. Box 37248, Washington, D.C. 20013;Department of Mathematics, The University of Georgia. |
| |
| Abstract: | 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. |
| |
| Keywords: | |
|
|
