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Optimal Mortgage Refinancing with Stochastic Interest Rates
14 references·1 citing·38 second hopsampled
Optimal Mortgage Refinancing with Stochastic Interest Rates (1989)Optimal Mortgage Refinancing with Stochas…Pricing Mortgages: An Interpretation of the Models and Results (1987)Pricing Mortgages: An Interpr…Pricing mortgages: An interpretation of the models and results (1987)Pricing mortgages: An interpr…A Generalized Framework for Pricing Contingent Cash Flows (1987)A Generalized Framework for P…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …Valuing the Mortgage Borrower's Prepayment Option (1985)Valuing the Mortgage Borrower…Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques (1985)Valuation by Approximation: A…Determinants of GNMA Mortgage Prices (1985)Determinants of GNMA Mortgage…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Pricing of Default-Free Mortgages (1984)The Pricing of Default-Free M…Valuation of GNMA Mortgage-Backed Securities (1981)Valuation of GNMA Mortgage-Ba…A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Re-Examination of Tradition…The Pricing of Options on Debt Securities (1980)The Pricing of Options on Deb…Option pricing: A simplified approach (1979)Option pricing: A simplified …Savings bonds, retractable bonds and callable bonds (1977)Savings bonds, retractable bo…Why Do Borrowers Make Mortgage Refinancing Mistakes? (2014)Why Do Borrowers Make Mortgag…An Intertemporal Capital Asset Pricing Model (1973)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model (1993)Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The valuation at origination of fixed-rate mortgages with default and prepayment (1995)Mortgage Choice: What's the Point? (1998)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (1999)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)A Multivariate Model of the Term Structure (1980)The cost of capital, corporation finance and the theory of investment (2008)An equilibrium characterization of the term structure (1977)Two-State Option Pricing (1979)CREDIT RISK, CREDIT RATINGS, AND MUNICIPAL BOND YIELDS: A PANEL STUDY (1991)Energy price risk management (2000)A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models (2001)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Use of the Control Variate Technique in Option Pricing (1988)A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments (1991)Case Studies on Real Options (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)A Generalized Valuation Model for Fixed-Rate Residential Mortgages (1992)Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Limits of Arbitrage: Theory and Evidence from the Mortgage‐Backed Securities Market (2007)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Optimal Mortgage Refinancing: A Closed‐Form Solution (2013)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
  • 1981Valuation of GNMA Mortgage-Backed Securities322 cited
  • 1977Savings bonds, retractable bonds and callable bonds229 cited
  • 1985Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques218 cited
  • 1980The Pricing of Options on Debt Securities173 cited
  • 1985Determinants of GNMA Mortgage Prices131 cited
  • 1987Pricing mortgages: An interpretation of the models and results105 cited
  • 1987Pricing Mortgages: An Interpretation of the Models and Results88 cited
  • 1985Valuing the Mortgage Borrower's Prepayment Option54 cited
  • 1984The Pricing of Default-Free Mortgages32 cited
  • 1987A Generalized Framework for Pricing Contingent Cash Flows29 cited

Cited by

  • 2014Why Do Borrowers Make Mortgage Refinancing Mistakes?56 cited

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