Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model
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Publication:3188154
DOI10.1137/16M1066555zbMath1410.91469MaRDI QIDQ3188154
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Publication date: 17 August 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
variational inequalityfree boundary problemterm structuremortgage prepaymentCox-Ingersoll-Rossoptimal prepayment rate
Variational inequalities (49J40) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Free boundary problems for PDEs (35R35)
Uses Software
Cites Work
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