Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
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Publication:1732239
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Cites work
- A jump-diffusion model for option pricing
- A new numerical method for pricing fixed-rate mortgages with prepayment and default options
- A penalty method for American options with jump diffusion processes
- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
- A theory of the term structure of interest rates
- An iterative method for pricing American options under jump-diffusion models
- An upwind approach for an American and European option pricing model
- Augmented Lagrangian active set methods for obstacle problems
- Financial Modelling with Jump Processes
- Finite elements and characteristics for some parabolic-hyperbolic problems
- Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization
- Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas
- Numerical Methods for Convection-Dominated Diffusion Problems Based on Combining the Method of Characteristics with Finite Element or Finite Difference Procedures
- Numerical solution of two asset jump diffusion models for option valuation
- Numerical valuation of options with jumps in the underlying
- Operator splitting methods for American option pricing.
- Option pricing when underlying stock returns are discontinuous
- PDE and martingale methods in option pricing.
- Robust numerical methods for contingent claims under jump diffusion processes
Cited in
(13)- Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
- Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate
- Default and prepayment options pricing and default probability valuation under VG model
- Pricing various types of mortgage insurances with disposal and discount costs under a mean-reverting Lévy housing price process
- Stochastic modeling and numerical simulation of gene regulatory networks with protein bursting
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- Pricing mortgage insurance with house price driven by Poisson jump diffusion process
- The real estate credit risk based on the value model with jump and stochastic interests
- The value of mortgage insurance under Merton jump diffusion
- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
- Two-productive sector equilibrium problems with heterogeneous agents under jump-diffusion models
- Jump-diffusion productivity models in equilibrium problems with heterogeneous agents
- A model for pricing real estate derivatives with stochastic interest rates
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