Optimal mortgage refinancing with regime switches

DOI10.1007/s10690-008-9072-2zbMath1151.91575OpenAlexW2123963658MaRDI QIDQ945043

Naoki Makimoto, Toshio Kimura

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 equationOptimal stoppingMortgage refinanceRegime switch

Mathematics Subject Classification ID

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

Cites Work

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• Short rate nonlinearities and regime switches.
• Irreversible investment with regime shifts
• 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