Valuing Mortgage Insurance Contracts in Emerging Market Economies

  • Ashok Bardhan
  • Raša Karapandža
  • Branko Urošević

DOI: 10.1007/s11146-005-5175-y

Cite this article as:
Bardhan, A., Karapandža, R. & Urošević, B. J Real Estate Finan Econ (2006) 32: 9. doi:10.1007/s11146-005-5175-y


We develop a new option-based method for the valuation of mortgage insurance contracts in closed form in an economy where agents are risk neutral. While the proposed valuation method is general and can be used in any market, it may be particularly useful in emerging market economies where other existing methods may be either inappropriate or are too difficult to implement because of the lack of relevant data. As an application, we price a typical Serbian government-backed mortgage insurance contract.

Key Words

mortgage insurance default rate prepayment rate black-scholes formula emerging markets 

Copyright information

© Springer Science + Business Media, Inc. 2006

Authors and Affiliations

  • Ashok Bardhan
    • 1
  • Raša Karapandža
    • 2
    • 3
    • 4
  • Branko Urošević
    • 3
    • 5
  1. 1.Fisher Center for Real Estate and Urban Economics, Haas School of BusinessUniversity of CaliforniaBerkeleyUSA
  2. 2.Department of Economics and BusinessUniversitat Pompeu FabraBarcelonaSpain
  3. 3.South European Center for Contemporary FinanceBelgradeSerbia and Montenegro
  4. 4.Scientific Computing Laboratory, Institue of PhysicsBelgradeSerbia and Montenegro
  5. 5.Faculty of EconomicsUniversity of BelgradeBelgradeSerbia

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