Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
type: Item
instance of: scholarly article
title: Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
zbMATH Open document ID: 1410.91258
author: Carlos Vázquez
author: M. Carmen Calvo-Garrido
published in: Applied Mathematics and Computation
publication date: 2019-03-22T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7040935
zbMATH Keywords: fixed-rate mortgages
zbMATH Keywords: jump-diffusion models
zbMATH Keywords: option pricing
zbMATH Keywords: complementarity problem
zbMATH Keywords: numerical methods
zbMATH Keywords: augmented Lagrangian active set formulation
MaRDI profile type: Publication
full work available at URL: j.amc.2015.09.051
OpenAlex ID: W1915302246
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DOI: 10.1016/J.AMC.2015.09.051
description: scientific article; zbMATH DE number 7040935