Optimal Mortgage Refinancing: A Closed Form Solution

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.

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Year of publication:	2007-10
Authors:	Driscoll, John ; Laibson, David ; Agarwal, Sumit
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	AP EFG PE published as Sumit Agarwal & John C. Driscoll & David I. Laibson, 2013. "Optimal Mortgage Refinancing: A ClosedâForm Solution," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45, pages 591-622, 06. Number 13487
Classification:	G11 - Portfolio Choice ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005710175