A new numerical method for pricing fixed-rate mortgages with prepayment and default options (Q5739577)
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scientific article; zbMATH DE number 6604238
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new numerical method for pricing fixed-rate mortgages with prepayment and default options |
scientific article; zbMATH DE number 6604238 |
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A new numerical method for pricing fixed-rate mortgages with prepayment and default options (English)
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19 July 2016
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fixed-rate mortgages
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option pricing
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complementarity problem
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numerical methods
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augmented Lagrangian active set formulation
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