When to refinance a mortgage: a dynamic programming approach

DOI10.1016/J.EJOR.2004.02.017MaRDI QIDQ1779558zbMATH OpenOpenAlexFDO

Authors Pei-Ting Lee, Donald B. Rosenfield

Publication date 1 June 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2004.02.017

zbMATH Keywords

BankingDynamic programmingFinance

Mathematics Subject Classification ID

Dynamic programming (90C39) Decision theory (91B06)

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Cites work

• Estimating continuous-time stochastic volatility models of the short-term interest rate
• Mortgages and Markov Chains: A Simplified Evaluation Model

Cited in

(4)

• Markov control processes with randomized discounted cost
• Approximation, estimation and control of stochastic systems under a randomized discounted cost criterion
• Constrained Markov decision processes with first passage criteria
• Optimal mortgage refinancing with regime switches

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