A parabolic variational inequality arising from the valuation of fixed rate mortgages

DOI10.1017/S0956792505006297zbMath1133.91026OpenAlexW2113500884MaRDI QIDQ3373763

Baojun Bian, Li-Shang Jiang, Fa-huai Yi

Publication date: 9 March 2006

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0956792505006297

zbMATH Keywords

variational inequalities free boundary problem fixed rate mortgages

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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