On the Design and Pareto‐Optimality of Participating Mortgages
通过微观经济模型和数值模拟，证明参与型抵押贷款在房地产所有权由不同纳税实体共享时能提高社会福利，并指出因房地产独特性导致Black-Scholes风险中性估值失效。
This paper develops a micro‐economic model and proceeds with numerical simulation to demonstrate that participating mortgages can improve social welfare when the real estate ownership is shared among the different taxable entities. The optimal distribution of real estate ownership and lending will tend to be concentrated in taxable and nontaxable hands, respectively, with lending conducted via participating mortgages. This paper also demonstrates the violation of the well‐known, risk‐neutral valuation argument of the Black and Scholes (1973) model because of the lack of a riskless hedge due to the uniqueness of real estate.