On a Flexible Loan Repayment Method Depending on Borrower’s Asset with an Early Termination Clause

DOI10.1007/S10255-024-1122-7MaRDI QIDQ6489826

Unnamed Author, Jin Liang, Unnamed Author

Publication date: 22 April 2024

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Mathematics Subject Classification ID

Credit risk (91G40) Second-order parabolic systems (35K40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• INTENSITY-BASED MODELS FOR PRICING MORTGAGE-BACKED SECURITIES WITH REPAYMENT RISK UNDER A CIR PROCESS
• A free boundary problem for a flexible loan based on the borrower asset
• Unnamed Item

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