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The Effect of Refinancing Costs and Market Imperfections on the Optimal Call Strategy and the Pricing of Debt Contracts
16 references·1 citing·38 second hop
The Effect of Refinancing Costs and Market Imperfections on the Optimal Call Strategy and the Pricing of Debt Contracts (2005)The Effect of Refinancing Costs and Marke…Structural Change in the Mortgage Market and the Propensity to Refinance (2001)Structural Change in the Mort…Mortgage Choice: What's the Point? (1998)Mortgage Choice: What's the P…Housing Finance Review: 1998/99 (1998)Housing Finance Review: 1998/…The Optimal Trading and Pricing of Securities with Asymmetric Capital Gains Taxes and Transaction Costs (1996)The Optimal Trading and Prici…Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Rational Prepayment and the V…Prepayments on fixed-rate mortgage-backed securities (1989)Prepayments on fixed-rate mor…An empirical investigation of calls of non-convertible bonds (1986)An empirical investigation of…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Valuation of GNMA Mortgage-Backed Securities (1981)Valuation of GNMA Mortgage-Ba…A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities (1981)A Comparison of Alternative M…CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION (1977)CONVERTIBLE BONDS: VALUATION …AN EXAMINATION OF CORPORATE CALL POLICIES ON CONVERTIBLE SECURITIES (1977)AN EXAMINATION OF CORPORATE C…A contingent-claims valuation of convertible securities (1977)A contingent-claims valuation…The Bond Refunding Decision in an Efficient Market (1973)The Bond Refunding Decision i…Dynamic Programming Applications in Finance (1971)Dynamic Programming Applicati…DYNAMIC PROGRAMMING APPLICATIONS IN FINANCE (1971)DYNAMIC PROGRAMMING APPLICATI…Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities (2016)Macroeconomic-Driven Prepayme…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Generalized Valuation Model for Fixed-Rate Residential Mortgages (1992)Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market (2007)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model (1993)When Are Real Options Exercised? An Empirical Study of Mine Closings (2002)Quantifying Credit Risk I: Default Prediction (2003)Option pricing when underlying stock returns are discontinuous (1976)Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt (1989)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Prepayment and the Valuation of Mortgage-Backed Securities (1989)Household Risk Management and Optimal Mortgage Choice (2002)Real Estate Versus Financial Wealth in Consumption (2004)Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market (2020)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Convertible calls and security returns (1981)A Sequential Signalling Model of Convertible Debt Call Policy (1985)Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options (2003)Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)Informational Equilibrium (1979)The loan structure and housing tenure decisions in an equilibrium model of mortgage choice (2009)Evidence on the Benefits of Alternative Mortgage Products (2013)Systematic mistakes in the mortgage market and lack of financial sophistication (2016)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Is the Market for Mortgage-Backed Securities a Market for Lemons? (2008)Optimal Mortgage Refinancing: A Closed‐Form Solution (2013)Why Do Borrowers Make Mortgage Refinancing Mistakes? (2015)Valuing Corporate Securities: Some Effects of Bond Indenture Provisions (1976)The valuation at origination of fixed-rate mortgages with default and prepayment (1995)Homeownership and neighborhood stability (1996)Racial Discrimination in the U.S. Housing and Mortgage Lending Markets: A Quantitative Review of Trends, 1976–2016 (2020)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977A contingent-claims valuation of convertible securities491 cited
  • 1977CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSION473 cited
  • 1995Rational Prepayment and the Valuation of Mortgage-Backed Securities406 cited
  • 1981Valuation of GNMA Mortgage-Backed Securities322 cited
  • 1998Housing Finance Review: 1998/99292 cited
  • 1977AN EXAMINATION OF CORPORATE CALL POLICIES ON CONVERTIBLE SECURITIES254 cited
  • 1989Prepayments on fixed-rate mortgage-backed securities200 cited
  • 1998Mortgage Choice: What's the Point?164 cited
  • 1981A Comparison of Alternative Models for Pricing GNMA Mortgage-Backed Securities151 cited
  • 2001Structural Change in the Mortgage Market and the Propensity to Refinance131 cited
  • 1996The Optimal Trading and Pricing of Securities with Asymmetric Capital Gains Taxes and Transaction Costs130 cited
  • 1986An empirical investigation of calls of non-convertible bonds77 cited
  • 1973The Bond Refunding Decision in an Efficient Market56 cited
  • 1971DYNAMIC PROGRAMMING APPLICATIONS IN FINANCE41 cited

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1971
Dynamic Programming Applications in Finance
36 cited

Cited by

  • 2016Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities27 cited