Abstract: The Valuation of Mortgage Loan Commitments Using Option Pricing Estimates

The Valuation of Mortgage Loan Commitments Using Option Pricing Estimates

Author: George W. Kutner and James A. Seifert

Start Page: 13
End Page: 20
Volume: 4
Issue Number: 2
Year: 1989
Publication: Journal of Real Estate Research

Abstract: This paper values mortgage loan commitments in the context of the option pricing theory developed by Black and Scholes, and Merton. A valuation model is derived and empirical results are presented.