Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options

DOI10.1016/j.nonrwa.2017.06.009zbMath1379.35328OpenAlexW2736373895MaRDI QIDQ1681008

Carlos Vázquez, Maria del Carmen Calvo-Garrido

Publication date: 17 November 2017

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2017.06.009

zbMATH Keywords

uniformly parabolic operatorstrong solutionobstacle problemfixed-rate mortgages

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Strong solutions to PDEs (35D35)

Cites Work

• Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
• PDE and martingale methods in option pricing.
• Obstacle problem for arithmetic Asian options
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
• A Theory of the Term Structure of Interest Rates
• Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
• The obstacle problem for a class of hypoelliptic ultraparabolic equations
• Option pricing when underlying stock returns are discontinuous
• A new numerical method for pricing fixed-rate mortgages with prepayment and default options