Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate (Q1706706)
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scientific article; zbMATH DE number 6853841
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| English | Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate |
scientific article; zbMATH DE number 6853841 |
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Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate (English)
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28 March 2018
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adjustable-rate mortgages
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complementarity problem
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numerical methods
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augmented Lagrangian active set formulation
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