| dc.contributor | 財管系 | en_US |
| dc.creator (作者) | 陳明吉 | zh_TW |
| dc.creator (作者) | Hung,Chih-Hsing;Ming-Chi Chen;Shyh-Weir Tzang | en_US |
| dc.date (日期) | 2012 | en_US |
| dc.date.accessioned | 14-Nov-2014 18:18:11 (UTC+8) | - |
| dc.date.available | 14-Nov-2014 18:18:11 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Nov-2014 18:18:11 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/71488 | - |
| dc.description.abstract (摘要) | 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. | en_US |
| dc.format.extent | 1420499 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Emerging Markets Finance and Trade, 48, 156-174 | en_US |
| dc.subject (關鍵詞) | CIR model;Crank-Nicolson method;prepayment penalties;yield maintenance agreement | en_US |
| dc.title (題名) | Modeling the Mortgages with Prepayment Penalties | en_US |
| dc.type (資料類型) | article | en |
