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Journal articles (2006), International Journal of Business, pp. 144-157

Flexible-rate Mortages

We propose a model for the endogeneous determination of an optimal refinancing policy for mortgage loans under limited refinancing opportunities. Transaction costs are also included in the analysis. A detailed examination of the optimal exercise distributions sheds light on the impact of contract features on the average prepayment behavior in mortgage-backed securities.

RONCORONI, A. and MORO, A. (2006). Flexible-rate Mortages. International Journal of Business, pp. 144-157.

Keywords : #Mortgages