Pricing the Default Option of Inflation-Indexed Mortgages Using Explicit Finite Difference Method
Download full text from publisher
References listed on IDEAS
- Lea, Michael J. & Bernstein, Steven A., 1996. "Housing Finance in an Inflationary Economy: The Experience of Mexico1," Journal of Housing Economics, Elsevier, vol. 5(1), pages 87-104, March.
- William H. Scott & Arthur L. Houston & A. Quang Do, 1993. "Inflation Risk, Payment Tilt, and the Design of Partially Indexed Affordable Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(1), pages 1-25.
- Erol, Isil & Patel, Kanak, 2005. "Default risk of wage-indexed payment mortgage in Turkey," Journal of Housing Economics, Elsevier, vol. 14(3), pages 271-293, September.
- Baesel, Jerome B. & Biger, Nahum, 1980. "The Allocation of Risk: Some Implications of Fixed versus Index-Linked Mortgages," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(02), pages 457-468, June.
- Peter J. Elmer, 1992. "PLAM Default Risk," Journal of Real Estate Research, American Real Estate Society, vol. 7(2), pages 157-168.
- Kearl, J R, 1979. "Inflation, Mortgages, and Housing," Journal of Political Economy, University of Chicago Press, vol. 87(5), pages 1115-1138, October.
- Joseph B. Lipscomb & John T. Harvey & Harold Hunt, 2003. "Exchange-Rate Risk Mitigation with Price-Level-Adjusting Mortgages: The Case of the Mexican UDI," Journal of Real Estate Research, American Real Estate Society, vol. 25(1), pages 23-42.
- José A. Azevedo-Pereira & David P. Newton & Dean A. Paxson, 2002. "UK Fixed Rate Repayment Mortgage and Mortgage Indemnity Valuation," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(2), pages 185-211.
- James B. Kau & Donald C. Keenan & Walter J. Muller & James F. Epperson, 1990. "The Valuation and Analysis of Adjustable Rate Mortgages," Management Science, INFORMS, vol. 36(12), pages 1417-1431, December.
- Stanton, Richard & Wallace, Nancy, 1999. "Anatomy of an ARM: The Interest-Rate Risk of Adjustable-Rate Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 19(1), pages 49-67, July.
- Taewon Kim, 1987. "A Contingent Claims Analysis of Price Level-Adjusted Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(3), pages 117-131.
- Hakan Berument & Kamuran Malatyali, 1999. "Determinants of interest rates in Turkey," Discussion Papers 9902, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Kau, James B, et al, 1993. "Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed-Rate Mortgages," The Journal of Business, University of Chicago Press, vol. 66(4), pages 595-618, October.
- Richard Stanton & Nancy Wallace, 1995. "ARM Wrestling: Valuing Adjustable Rate Mortgages Indexed to the Eleventh District Cost of Funds," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(3), pages 311-345.
- Ramaswamy, Krishna & Sundaresan, Suresh M., 1986. "The valuation of floating-rate instruments : Theory and evidence," Journal of Financial Economics, Elsevier, vol. 17(2), pages 251-272, December.
- Gibson, Rajna & Schwartz, Eduardo S, 1990. " Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," Journal of Finance, American Finance Association, vol. 45(3), pages 959-976, July.
- Gerald Buetow, Jr. & Joseph Albert, 1998. "The Pricing of Embedded Options in Real Estate Lease Contracts," Journal of Real Estate Research, American Real Estate Society, vol. 15(3), pages 253-266.
More about this item
Keywordsoption pricing; inflation-indexed mortgages; default option; explicit finite difference method; wage-indexed payment mortgage (WIPM);
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ire:issued:v:010:n:01:2007:p:48-92. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (IRER Secretary Office/Webmaster). General contact details of provider: http://www.asres.org/ .