THE ASSOCIATION FOR REAL ESTATE SECURITIZATION 40 2009 July-August
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E T A T D T E T E t = max( A DT D, 0) A t D t E t A0 D 0 E 0 t t AT A T D T 72 July-August 2009
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E σ 0 d d A 1 2 Pr( A A N( d ) T 0 d 1 0 1 ln A / D 1 σ σ A T D T T σ A e ( r r f T A 0 A E 0 e h h 1 2 a = A rf T f T E N( d ) σ 0 E Ω N( d1) A0 0 D T ) 1 N d 2 2 A 2 / 2) T σ 2a ( N( d1) ( A0 / DT ) N( h1 )) 2a N( d ) ( A / D ) N( h D T ln ln r F E ( )) 2 0 2 ( A / D ) ( r ( σ / 2) ) 0 2 ( A / D ) + ( r ( σ / 2) ) 0 2 A 2 A ( σ σ T T / 2) σ σ A A F T F T T A A 2 T T σ A = N( d a A 1 ) ( E0 / A0) ( A / D ) 2a 0 E 0 E D T r f T E 0 E D T T N( h ) 1 σ E 2a ( A / D ) N( ) Pr( A < D ) = N( h1 ) + 0 h2 T T µ = a 2 ( / 2) A rf σ A r F 2 σ A 2 ( σ / 2) σ A 2 A µ σ A 2 A T 74 July-August 2009
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