Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
type: Item
instance of: scholarly article
title: Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options
zbMATH Open document ID: 1379.35328
author: M. Carmen Calvo-Garrido
author: Carlos Vázquez
published in: Nonlinear Analysis. Real World Applications
publication date: 2017-11-17T00:00:00Z
Mathematics Subject Classification ID: 35Q91
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 35D35
zbMATH DE Number: 6808248
zbMATH Keywords: fixed-rate mortgages
zbMATH Keywords: obstacle problem
zbMATH Keywords: uniformly parabolic operator
zbMATH Keywords: strong solution
MaRDI profile type: Publication
full work available at URL: j.nonrwa.2017.06.009
OpenAlex ID: W2736373895
cites work: A new numerical method for pricing fixed-rate mortgages with prepayment and default options
cites work: Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
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cites work: The obstacle problem for a class of hypoelliptic ultraparabolic equations
cites work: Obstacle problem for arithmetic Asian options
cites work: Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
cites work: Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
cites work: Option pricing when underlying stock returns are discontinuous
cites work: A theory of the term structure of interest rates
cites work: Parabolic variational inequalities in one space dimension and smoothness of the free boundary
DOI: 10.1016/J.NONRWA.2017.06.009
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description: scientific article; zbMATH DE number 6808248