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When to refinance a mortgage: A dynamic programming approach

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  • Lee, Pei-Ting
  • Rosenfield, Donald B.

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  • Lee, Pei-Ting & Rosenfield, Donald B., 2005. "When to refinance a mortgage: A dynamic programming approach," European Journal of Operational Research, Elsevier, vol. 166(1), pages 266-277, October.
    • Handle: RePEc:eee:ejores:v:166:y:2005:i:1:p:266-277
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    References listed on IDEAS

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    1. Paul Zipkin, 1993. "Mortgages and Markov Chains: A Simplified Evaluation Model," Management Science, INFORMS, vol. 39(6), pages 683-691, June.
    2. Deng, Yongheng, 1997. "Mortgage Termination: An Empirical Hazard Model with a Stochastic Term Structure," The Journal of Real Estate Finance and Economics, Springer, vol. 14(3), pages 309-331, May.
    3. S. Michael Giliberto & David C. Ling, 1992. "An Empirical Investigation of the Contingent‐Claims Approach to Pricing Residential Mortgage Debt," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(3), pages 393-426, September.
    4. Andrew H. Chen & David C. Ling, 1989. "Optimal Mortgage Refinancing with Stochastic Interest Rates," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(3), pages 278-299, September.
    5. Amy Dickinson & Andrea J. Heuson, 1993. "Explaining Refinancing Decisions Using Microdata," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(3), pages 293-311, September.
    6. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
    7. Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
    8. Yang, Tyler T & Maris, Brian A, 1996. "Mortgage Prepayment with an Uncertain Holding Period," The Journal of Real Estate Finance and Economics, Springer, vol. 12(2), pages 179-194, March.
    9. Kau, James B. & Keenan, Donald C. & Muller III, Walter J. & Epperson, James F., 1995. "The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment," The Journal of Real Estate Finance and Economics, Springer, vol. 11(1), pages 5-36, July.
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    Cited by:

    1. Wojakowski, Rafal M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2016. "Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 62-74.
    2. Dejun Xie & Nan Zhang & David A. Edwards, 2018. "Simulation Solution to a Two-Dimensional Mortgage Refinancing Problem," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 479-492, August.
    3. Yonghui Huang & Qingda Wei & Xianping Guo, 2013. "Constrained Markov decision processes with first passage criteria," Annals of Operations Research, Springer, vol. 206(1), pages 197-219, July.
    4. Juan González-Hernández & Raquiel López-Martínez & J. Pérez-Hernández, 2007. "Markov control processes with randomized discounted cost," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 65(1), pages 27-44, February.

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