Optimal Mortgage Refinancing: A Closed Form Solution
41 Pages Posted: 15 Oct 2007 Last revised: 9 May 2022
There are 2 versions of this paper
Optimal Mortgage Refinancing: A Closed Form Solution
Date Written: October 2007
Abstract
We derive the first closed-form optimal mortgage refinancing rule. The expression is derived by using the Lambert-W function to solve a tractable class of mortgage refinancing problems. We calibrate our solution and show that our quantitative results closely match those reported by researchers who use numerical methods.
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options
By John M. Quigley, Yongheng Deng, ...
-
The Effect of Income and Collateral Constraints on Residential Mortgage Terminations
By Wayne R. Archer, David C. Ling, ...
-
Structural Change in the Mortgage Market and the Propensity to Refinance
By Paul B. Bennett, Richard W. Peach, ...
-
Collateral Damage: How Refinancing Constraints Exacerbate Regional Recessions
By Andrew Caplin, Charles Freeman, ...
-
Pricing Mortgages: an Interpretation of the Models and Results
-
An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?
By Chris Downing, Richard Stanton, ...
-
Mortgage Default and Low Downpayment Loans: The Costs of Public Subsidy
By Yongheng Deng, John M. Quigley, ...
-
Woodhead Behavior and the Pricing of Residential Mortgages
By Yongheng Deng and John M. Quigley
-
By James B. Kau and Donald C. Keenan