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政大機構典藏 > 商學院 > 統計學系 > 期刊論文 > Item 140.119/71488

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/71488

Title:	Modeling the Mortgages with Prepayment Penalties
Authors:	陳明吉 Hung,Chih-Hsing;Ming-Chi Chen;Shyh-Weir Tzang
Contributors:	財管系
Keywords:	CIR model;Crank-Nicolson method;prepayment penalties;yield maintenance agreement
Date:	2012
Issue Date:	2014-11-14 18:18:11 (UTC+8)
Abstract:	This paper uses a numerical simulation based on the Crank-Nicolson method to estimate the value of a fixed-rate mortgage (FRM) with embedded prepayment and non-defaultable options. We find that the value of the FRM will increase when interest rates decrease, increasing the incentive for borrowers to prepay the mortgage. This paper presents simulated results of prepayment penalties that may help financial institutions enact specific yield maintenance agreements and that may aid financial regulators in providing additional safety for financial lenders and borrowers.
Relation:	Emerging Markets Finance and Trade, 48, 156-174
Data Type:	article
Appears in Collections:	[統計學系] 期刊論文

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File	Description	Size	Format
156-174.pdf		1387Kb	Adobe PDF2	1069	View/Open

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