Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
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Publication:1732239
DOI10.1016/J.AMC.2015.09.051zbMath1410.91258OpenAlexW1915302246MaRDI QIDQ1732239
Carlos Vázquez, Maria del Carmen Calvo-Garrido
Publication date: 22 March 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2015.09.051
numerical methodsoption pricingcomplementarity problemjump-diffusion modelsfixed-rate mortgagesaugmented Lagrangian active set formulation
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