When to refinance a mortgage: a dynamic programming approach

DOI10.1016/j.ejor.2004.02.017zbMath1066.91022OpenAlexW2045664879MaRDI QIDQ1779558

Donald B. Rosenfield, Pei-Ting Lee

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

Dynamic programmingFinanceBanking

Mathematics Subject Classification ID

Related Items (3)

Unnamed Item ⋮ Constrained Markov decision processes with first passage criteria ⋮ Markov control processes with randomized discounted cost

Cites Work

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

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