Determinants of GNMA Mortgage Prices
对比三种基于套利的GNMA证券定价模型，分析抵押贷款发行人赎回政策假设对收益率差异的影响，帮助理解GNMA与国债的定价关系。
This paper contrasts three different arbitrage‐based models for the pricing of GNMA securities, and analyzes the effect of different assumptions about the call policy pursued by the issuers of the underlying mortgages. Both the nature of the interest‐rate uncertainty captured by the model and the assumed call policy have a major effect on the yield differentials predicted between GNMA securities and Treasury Bonds.