Numerical method for solving free boundary problem arising from fixed rate mortgages
DOI10.1007/978-3-662-43880-0_68zbMATH Open1447.91191OpenAlexW2147483532MaRDI QIDQ5116378FDOQ5116378
Authors: J. D. Kandilarov 
Publication date: 25 August 2020
Published in: Large-Scale Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-662-43880-0_68
Recommendations
Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods for partial differential equations, boundary value problems (65N99)
Cites Work
- The Immersed Interface Method
- An equilibrium characterization of the term structure
- Title not available (Why is that?)
- CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
- A parabolic variational inequality arising from the valuation of fixed rate mortgages
- The early exercise boundary for the American put near expiry: Numerical approximation
- A Numerical Approach for the American Call Option Pricing Model
- Title not available (Why is that?)
- Analysis of the free boundary for the pricing of an American call option
- Optimal payment of mortgages
Cited In (8)
- An asymptotic method to a financial optimization problem
- A numerical scheme for fractional order mortgage model of economics
- A finite difference scheme based on a layer-adaptive mesh for fixed rate mortgages models
- A free boundary problem for a flexible loan based on the borrower asset
- Title not available (Why is that?)
- A new numerical method for pricing fixed-rate mortgages with prepayment and default options
- Computing the endogenous mortgage rate without iterations
- Numerical valuation of fixed rate mortgages
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