Mortgage loan pricing model unde the default risk

Abstract

This paper use the option pricing theory, based on the risk of default under the mortgage related to pricing model. Mortgage loan risk compensation will be converted to put option with the different strike price. Keywords-Mortgage loans;Put options;The monte-carlo simulation I. 1973 Black Scholes Black-Scholes Monte Carlo Black Scholes II. S , θ ( ) 0 0 1 B S θ = − ( ) 0 1 r t S e θ ⋅ − t ( ) 0 1 r t t S S e θ ⋅ < − ( ) 0 1 r t S e θ ⋅ − Black-Scholes [1] ( ) 0 1 r t S e θ ⋅ − K Black-Scholes ( ) ( ) ( ) 0 2 0 1 1 r t rt t P Se e N d S e N d δ θ ⋅ − − = − − − − ( ) ( ) ( ) 0 2 0 1