Numerical method for solving free boundary problem arising from fixed rate mortgages

DOI10.1007/978-3-662-43880-0_68MaRDI QIDQ5116378zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

free boundaryfree boundary problemThomas algorithmlocal truncation errorderivative security

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 1969665 (Why is no real title available?)
• scientific article; zbMATH DE number 1565421 (Why is no real title available?)
• A Numerical Approach for the American Call Option Pricing Model
• A parabolic variational inequality arising from the valuation of fixed rate mortgages
• An equilibrium characterization of the term structure
• Analysis of the free boundary for the pricing of an American call option
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• Optimal payment of mortgages
• The Immersed Interface Method
• The early exercise boundary for the American put near expiry: Numerical approximation

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
• scientific article; zbMATH DE number 5524410 (Why is no real title available?)
• 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

Describes a project that uses

Uses Software

• IIMPACK

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