Numerical Method for Solving Free Boundary Problem Arising from Fixed Rate Mortgages

DOI10.1007/978-3-662-43880-0_68zbMath1447.91191OpenAlexW2147483532MaRDI QIDQ5116378

Juri D. Kandilarov

Publication date: 25 August 2020

Published in: Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-662-43880-0_68

zbMATH Keywords

free boundary problemfree boundaryThomas algorithmlocal truncation errorderivative security

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods for partial differential equations, boundary value problems (65N99)

Uses Software

• IIMPACK

Cites Work

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• Analysis of the free boundary for the pricing of an American call option
• A Numerical Approach for the American Call Option Pricing Model
• A parabolic variational inequality arising from the valuation of fixed rate mortgages
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• An equilibrium characterization of the term structure
• The Immersed Interface Method
• Optimal payment of mortgages

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