An Empirical Investigation of the Contingent‐Claims Approach to Pricing Residential Mortgage Debt
检验了或有债权方法在住宅抵押贷款定价中的有效性，通过比较1981年至1991年121个月的理论利率与实际利率，发现模型能无偏预测利率变化。
Despite the growth of theoretical mortgage‐pricing research, few empirical tests have been published. The primary objective of this paper is to provide an empirical test of the contingent‐claims approach to pricing residential mortgages. This is accomplished by examining the differences between contract mortgage rates generated by the theoretical contingent‐claims model and corresponding actual rates observed for 121 consecutive months from January 1981 through January 1991. We find that the contingent‐claims model produces an unbiased prediction of changes in actual rates.