Optimal mortgage prepayment under the Cox-Ingersoll-Ross model (Q3188154)
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scientific article; zbMATH DE number 6617501
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| English | Optimal mortgage prepayment under the Cox-Ingersoll-Ross model |
scientific article; zbMATH DE number 6617501 |
Statements
Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model (English)
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17 August 2016
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mortgage prepayment
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Cox-Ingersoll-Ross
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optimal prepayment rate
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variational inequality
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term structure
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free boundary problem
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0.8195927143096924
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0.8089047074317932
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0.7869278788566589
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0.767853319644928
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