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Optimal prepayment of Dutch mortgages

机译：最佳荷兰抵押预付款

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摘要

Valuation of the prepayment option in Dutch mortgages is complicated. In the Netherlands, mortgagors are not allowed to prepay the full mortgage loan without a compensating penalty. Only a limited amount of the initial mortgage loan can be prepaid penalty-free. We introduce a general model formulation for the valuation of limited callable mortgages, based on binomial trees. This model can be used for determining both the optimal prepayment strategy and the value of embedded prepayment options. For some mortgage types the prepayment option can be valued exactly, whereas other types require approximative methods for efficient valuation. The heuristic we propose here determines the prepayment option value efficiently and accurately for general mortgage types.
机译：荷兰抵押贷款中预付款选项的评估非常复杂。在荷兰，抵押人不得无偿偿付全部抵押贷款。只有有限数量的初始抵押贷款可以预付免罚金。我们引入了基于二项式树的有限可赎回抵押贷款估值的通用模型公式。该模型可用于确定最佳预付款策略和嵌入式预付款选项的价值。对于某些抵押类型，预付款选项可以准确估价，而其他类型则需要近似方法才能进行有效估价。我们在此提出的启发式方法可有效，准确地确定一般抵押类型的预付款选项值。

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