Home  Journals  Finance and Credit  26(506) - 2012 July

Optional model for rate of prepayment of mortgage-backed securities of American type

Available online: 10 July 2012

Subject Heading: Stock market

JEL Classification: 

In the article key processes of pricing of mortgage securities of the American type in their indissoluble interrelation with functioning of the markets of mortgage lending and housing in modern economic conditions are investigated. The main concepts, methods and problems of the analysis and an assessment of these financial instruments are presented. The option model of mortgage-backed securities with mortgage assets, Blek-Shoulz-Merton based on known model for calculation of cost of the European options is offered.

Keywords: option-based, model, prepayment, rate, securities, backed, mortgage, assets, American, type, European, option, pricing

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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