Optimal Foreclosure Policies

Gordon Pye and Ahmet Tezel
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Gordon Pye: Standard Oil of California
Ahmet Tezel: The City College of the City University of New York

Management Science, 1974, vol. 21, issue 2, 141-147

Abstract: The value of a collateralized loan subject to default is obtained using a dynamic programming approach. The optimal foreclosure policy for a special case is derived based on the number of payments which are late. These results are then applied to an example taken from a casebook on financial institutions.

Date: 1974
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:21:y:1974:i:2:p:141-147

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