Abstract
This paper develops a computational model of residential mortgage prepayment over discrete time. The prepayment options at every payment date are embedded in the model by using real options approach and according to Chinese residential mortgage loan payment schedule. The computational approach of the model is shown in the paper. A forecasting for cash flow of the bank and a penalty strategy designed against prepayment behavior under the prepayment option are given in the paper as the applications of the model.
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© 2005 Springer-Verlag Berlin Heidelberg
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Yang, M., Xiao, R. (2005). A Computational Model of Mortgage Prepayment Options. In: Deng, X., Ye, Y. (eds) Internet and Network Economics. WINE 2005. Lecture Notes in Computer Science, vol 3828. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11600930_59
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DOI: https://doi.org/10.1007/11600930_59
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-30900-0
Online ISBN: 978-3-540-32293-1
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