Optimal mortgage refinancing with regime switches

DOI10.1007/S10690-008-9072-2MaRDI QIDQ945043zbMATH OpenOpenAlexFDO

Authors Toshio Kimura, Naoki Makimoto

Publication date 10 September 2008

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-008-9072-2

zbMATH Keywords

Bellman equationMortgage refinanceOptimal stoppingRegime switch

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• scientific article; zbMATH DE number 2107841 (Why is no real title available?)
• Irreversible investment with regime shifts
• Short rate nonlinearities and regime switches.

Cited in

(7)

• When to refinance a mortgage: a dynamic programming approach
• Mortgage valuation and optimal refinancing
• Optimal cross-currency mortgage decisions
• Optimal payment of mortgages
• Optimal times to buy and sell a home
• Optimal refinancing strategy for mortgage rate with regime switching
• A two-factor, stochastic programming model of Danish mortgage-backed securities

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