Mortgage Valuation Under Optimal Prepayment
研究抵押贷款中点数与票面利率的组合如何区分不同提前还款概率的借款人，在借款人可自愿提前还款时推导出均衡定价。
Mortgage originators offer borrowers various combinations of “points”—loan fees—and coupon: high points and low coupon or low points and high coupon. In this article points are interpreted as a device serving to separate borrowers with high prepayment probabilities from those with low prepayment probabilities. Borrowers and lenders are treated symmetrically: both are risk neutral and both have complete and frictionless access to credit markets (implying that borrowers can finance points if they wish), except that borrowers’ prepayment speeds are private knowledge. Equilibria are derived, both when borrowers cannot prepay voluntarily and when they can.