| Analysis of Fixed-rate Mortgage with Intensity Process: A Game-theoretic Framework | |
| Qian Yan-xiang | |
| 2008 | |
| 关键词 | mortgage prepayment risk intensity process equilibrium model Markov decision chain game theory |
| 页码 | 1325-1330 |
| 英文摘要 | Based on prepayment intensity process, this paper studies the valuation of fixed-rate mortgage contracts and an (game-theoretic) equilibrium model is built. Under the assumption of the rate process of time-homogeneous Markov chain and positive linear refinancing cost, the dynamic programming problem of the mortgagor is simplified to a Markov decision chain with only three discrete state variables which is proved to have a unique solution. The equilibrium is given by a pair of the endogenous rate and the optimal refinancing strategy of the mortgagor. A simple numerical example with an iteration algorithm is finally provided to show how to compute the equilibrium. The results show that the mortgagor is usually too hasty to refinance, thus refinancing is typically a myopic behavior. |
| 会议录出版者 | IEEE |
| 会议录出版地 | 345 E 47TH ST, NEW YORK, NY 10017 USA |
| 语种 | 英语 |
| WOS研究方向 | Business & Economics ; Computer Science ; Operations Research & Management Science |
| WOS记录号 | WOS:000261330700195 |
| 内容类型 | 会议论文 |
| 源URL | [http://10.2.47.112/handle/2XS4QKH4/3474]  |
| 专题 | 上海财经大学 |
| 作者单位 | Shanghai Univ Finance & Econ, Sch Finance, Shanghai 200433, Peoples R China |
| 推荐引用方式 GB/T 7714 | Qian Yan-xiang. Analysis of Fixed-rate Mortgage with Intensity Process: A Game-theoretic Framework[C]. 见:. |
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