TY  - JOUR
AU  - Hendershott,Patric H.
TI  - Pricing Adjustable Rate Mortgages
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 1548
PY  - 1985
Y2  - October 1985
UR  - http://www.nber.org/papers/w1548
L1  - http://www.nber.org/papers/w1548.pdf
N1  - Author contact info:
Patric H. Hendershott
Fisher Hall
Ohio State University
2100 Neil Avenue
Columbus, OH 43210
Tel: 218/963-1393
Fax: 218/963-9484
E-Mail: hendershott.2@osu.edu
AB  - This paper provides a framework for pricing adjustable rate mortgages and summarizes some evidence on the prices (additions to the coupon rate) necessary to cover expected losses from binding of varios interest rate caps and from mortgage default and foreclosure. Both interst rate and default risk are shown to be heavily inluenced by the form of the mortgage instrument as well as the underlying drift and uncertainty in interest rates and house prices.
ER  -