Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate

DOI10.1007/s40324-017-0118-0zbMath1408.91231OpenAlexW2593271262MaRDI QIDQ1706706

Carlos Vázquez, Maria del Carmen Calvo-Garrido

Publication date: 28 March 2018

Published in: S\(\vec{\text{e}}\)MA Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40324-017-0118-0

zbMATH Keywords

numerical methodscomplementarity problemadjustable-rate mortgagesaugmented Lagrangian active set formulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)

Cites Work

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• Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
• A parabolic variational inequality arising from the valuation of fixed rate mortgages
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• A new numerical method for pricing fixed-rate mortgages with prepayment and default options

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