FNMA Mortgage Purchase Commitments As Put Options: An Empirical Examination
研究了联邦国民抵押贷款协会（FNMA）的抵押贷款购买承诺拍卖，发现这些承诺实际上是看跌期权，并用美式看跌期权定价模型分析拍卖结果，发现模型在几年内表现良好后突然恶化。
The Federal National Mortgage Association (FNMA) auctions commitments to purchase mortgages. An examination of the terms of the commitment contract shows that these commitments are actually put options on mortgages. The contract is unusual, however, in that the price of the commitment is a fixed percentage of the value of the mortgages. In the auction, the dealers effectively bid the exercise price at which they would be willing to pay the fixed commitment price. In this paper, we study the economics of the FNMA auction. We use a two‐state approximation to the American put pricing model for interest‐dependent securities to examine the behavior of the auction results. We find that the model performs reasonably well for several years — giving results which are, on the average, correct — and then, quite abruptly, the performance of the model deteriorates. Some possible reasons for this result are then examined.