Valuing Default and Defeasence Option for Commercial Mortgage Backed Securities

摘要: We try to estimate default and deference probabilities of commercial mortgages via an American option pricing framework. In this framework, the borrower is assumed either if price real estate drops below level outstanding loan balance or net operating income less than periodic payments loan. The defease when gain from defeasing refinance a new project large enough cover loss occurring due defeasence. To best authors’ knowledge, first study that simultaneously considers defeasence options mortgage borrower.