NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Optimal Mortgage Refinancing: A Closed Form Solution

Sumit Agarwal, John C. Driscoll, David Laibson

NBER Working Paper No. 13487
Issued in October 2007
NBER Program(s):      AP   EFG   PE

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.

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Document Object Identifier (DOI): 10.3386/w13487

Published: Sumit Agarwal & John C. Driscoll & David I. Laibson, 2013. "Optimal Mortgage Refinancing: A Closed‐Form Solution," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45, pages 591-622, 06.

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