New method of pricing mortgage-backed securities

At present, the method of pricing mortgage-backed securities is mainly from the average of discounting cash flow, which is under a risk-neutral and ignores the price of mortgage-backed securities is determined by the attitude of investors to risk. The paper presents MBS utility non-discriminatory pricing, which applies utility non-discriminatory pricing principle of Hodges and Neuberger (1989). On the assumption that investors have utility of log-consumption, the paper is easy to realize MBS pricing formula and give Monte Carlo numerical calculation methods and applications.