Valuation of mortgage interest deductibility under uncertainty: an option pricing approach
From MaRDI portal
Publication:2002648
DOI10.1016/j.jedc.2019.02.008zbMath1418.91515MaRDI QIDQ2002648
Mohamad Afkhami, Hamed Ghoddusi
Publication date: 12 July 2019
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2019.02.008
91B64: Macroeconomic theory (monetary models, models of taxation)
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
- Explicit solutions to an optimal portfolio choice problem with stochastic income
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
- Mortgage loan portfolio optimization using multi-stage stochastic programming
- Household borrowing constraints and residential investment dynamics
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- Volatility can be detrimental to option values!