Mortgage Pricing: Some Provisional Empirical Results
检验了抵押贷款定价模型的定性性质，使用Ginnie Mae抵押贷款支持证券的数据，发现模型在数据中得到较大支持。
We test some of the qualitative properties of mortgage pricing models. The models use option pricing techniques, focusing on prepayment as a call option. They imply a quite nonlinear relationship between mortgage price and coupon, interest rates and volatility. We test for both the first and second derivatives of the effects of these variables using data on Ginnie Mae mortgage backed securities. We find that the model is largely supported by the data.