Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
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Publication:1681008
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
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
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- A new numerical method for pricing fixed-rate mortgages with prepayment and default options