Adjustable-Rate Mortgages are often embedded with protective derivate instruments to hedge against mortgage rates volatility risk. First, we explore how writing collar options on adjustable-rates affect the total cost of debt. Then, we achieve a measure for the Benefit-Cost Rate Spread with the intent to monitor the Adjustable-Rate Mortgage global cost. Our findings are useful to provide financial practitioners with better awareness about the benefit-cost rate spread in writing protective options.
The cost rate for Adjustable-Rate Mortgage with embedded options
Luisa Tibiletti
;Mariacristina UbertiLast
2020-01-01
Abstract
Adjustable-Rate Mortgages are often embedded with protective derivate instruments to hedge against mortgage rates volatility risk. First, we explore how writing collar options on adjustable-rates affect the total cost of debt. Then, we achieve a measure for the Benefit-Cost Rate Spread with the intent to monitor the Adjustable-Rate Mortgage global cost. Our findings are useful to provide financial practitioners with better awareness about the benefit-cost rate spread in writing protective options.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
tibilettiAMS5-8-2020.pdf
Accesso aperto
Descrizione: versione pubblica
Tipo di file:
PDF EDITORIALE
Dimensione
311.49 kB
Formato
Adobe PDF
|
311.49 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
