Mortgage valuation: a quasi-closed-form solution

DOI10.1080/14697688.2010.492234MaRDI QIDQ2873530zbMATH OpenOpenAlexFDO

Authors Cristina Viegas, José Azevedo-Pereira

Publication date 24 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10400.1/4825

zbMATH Keywords

contingent claims mortgage valuation modelnon-stochastic interest ratesquasi-closed-form solution

Mathematics Subject Classification ID

Credit risk (91G40)

Cites work

• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• An exact and explicit solution for the valuation of American put options
• Optimal Stopping and the American Put
• Randomization and the American put
• The pricing of options and corporate liabilities

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