| The Journal of Real Estate Finance and Economics | |
| Volume 32, Issue 1, Article 1 (Abstract) | |
| Title: | Valuing Mortgage Insurance Contracts in Emerging Market Economies |
| Author: | Ashok Bardhan, Rasa Karapandza and Branko Urosevic |
| Abstract: | We develop a new option-based method for the valuation of mortgage insurance contracts in closed form in an economy where agents are risk neutral. While the proposed valuation method is general and can be used in any market, it may be particularly useful in emerging market economies where other existing methods may be either inappropriate or are too difficult to implement because of the lack of relevant data. As an application, we price a typical Serbian government-backed mortgage insurance contract. |
| Keywords: | mortgage insurance, default rate, prepayament rate, Black-Scholes formula, emerging markets |