Optimal Mortgage Refinancing with Stochastic Interest Rates
在或有债权框架下建立动态模型，同时求解借款人的最优再融资策略、再融资看涨期权价值、抵押负债价值及固定利率合同的市场价值，并计算触发最优再融资所需的最小利差。
The purpose of this paper is to develop a dynamic model of mortgage refinancing in a contingent claim framework that simultaneously solves for the borrower's optimal mortgage refinancing strategy, the value of the refinancing call option, the value of the mortgage liability to the borrower, and the market (lender) value of the fixed‐rate contract. We also calculate the minimum differential between the contract rate on the existing mortgage and the current interest rate that is required to trigger an optimal mortgage refinancing.