The main objective of this study consists in developing a quasi-analytical solution for the
valuation of commercial mortgages. We consider the existence of a single source of risk -
the risk of defaulting on a mortgage - and therefore, the existence of a single state
variable - the value of the mortgaged property. The value of the mortgage corresponds to
the present value of the future payments on the loan, minus the value of the embedded
American default option. The major difficulty in designing such a model consists in
calculating the value of this option, since for that purpose it is necessary to determine the
lowest property price below which it must be immediately exercised, i.e. the critical value
of the property
