UK fixed rate repayment mortgage indemnity valuation
We use a mean-reverting interest rate model and a lognormal house price diffusion model to evaluate British fixed rate mortgage contracts with (embedded) default and prepayment options. The valuation model also provides values for mortgage indemnity guarantees and the corresponding lenders' coi...
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| Outros Autores: | , |
| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2022
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10400.5/23570 |
| País: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/23570 |