A new numerical method for pricing fixed-rate mortgages with prepayment and default options

DOI10.1080/00207160.2013.878024zbMath1386.91169OpenAlexW2078185924MaRDI QIDQ5739577

Maria del Carmen Calvo-Garrido, Carlos Vázquez

Publication date: 19 July 2016

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2013.878024

zbMATH Keywords

numerical methodsoption pricingcomplementarity problemfixed-rate mortgagesaugmented Lagrangian active set formulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25)

Related Items (4)

Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options ⋮ Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate ⋮ Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance ⋮ Default and prepayment options pricing and default probability valuation under VG model

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