Optimal Mortgage Refinancing: A Closed Form Solution

Sumit Agarwal (), John Driscoll () and David Laibson ()

No 13487, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We derive the first closed-form optimal mortgage refinancing rule. The expression is derived by using the Lambert-W function to solve a tractable class of mortgage refinancing problems. We calibrate our solution and show that our quantitative results closely match those reported by researchers who use numerical methods.

JEL-codes: G11 G21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ure
Date: 2007-10
Note: AP EFG PE
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Working Paper: Optimal Mortgage Refinancing: A Closed Form Solution (2008)
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