Valuation of mortgage interest deductibility under uncertainty: an option pricing approach

DOI10.1016/J.JEDC.2019.02.008zbMath1418.91515OpenAlexW2939621671WikidataQ128089174 ScholiaQ128089174MaRDI 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

zbMATH Keywords

dynamic valuationembedded option valuemortgage interesttax shield

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Derivative securities (option pricing, hedging, etc.) (91G20)

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
• Optimal capital structure and investment decisions under time-inconsistent preferences
• Volatility can be detrimental to option values!

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