Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options

Author:

Calvo-Garrido Maria del Carmen,Vázquez CarlosORCID

Funder

Spanish MINECO

FEDER

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,General Economics, Econometrics and Finance,General Engineering,General Medicine,Analysis

Reference13 articles.

1. A new numerical method for pricing fixed-rate mortgages with prepayment and default options;Calvo-Garrido;Int. J. Comput. Math.,2016

2. An improved fixed-rate mortgage valuation methodology with interacting prepayment and default options;Sharp;J. Real Estate Finance Econ.,2008

3. Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance;Calvo-Garrido;Appl. Math. Comput.,2015

4. UK fixed rate repayment mortgage and mortgage indemnity valuation;Azevedo-Pereira;Real Estate Econ.,2002

5. The valuation at origination of fixed-rate mortgages with default and prepayment;Kau;J. Real Estate Finance Econ.,1995

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