A free boundary problem for a flexible loan based on the borrower asset

DOI10.3934/DCDSB.2023066zbMATH Open1517.35271OpenAlexW4362654717MaRDI QIDQ6156563FDOQ6156563

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Publication date: 13 June 2023

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2023066

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zbMATH Keywords

free boundary problemvariational inequalityBlack-Scholes-type problemfinancial mathematics problemflexible repayment methodremaining loan value

Mathematics Subject Classification ID

Second-order parabolic equations (35K10) Free boundary problems for PDEs (35R35) Financial applications of other theories (91G80) Risk models (general) (91B05)

Cites Work

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• On an Aleksandrov-Bakel'Man Type Maximum Principle for Second-Order Parabolic Equations
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Stochastic differential equations. An introduction with applications.
• Free boundary problem concerning pricing convertible bond

Cited In (4)

• Title not available (Why is that?)
• On a class of loans with a systematic amortisation schedule
• Free boundary problem for an optimal investment problem with a borrowing constraint
• On a Flexible Loan Repayment Method Depending on Borrower’s Asset with an Early Termination Clause

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