Article2005

A parabolic variational inequality arising from the valuation of fixed rate mortgages

35 citations0/0 files storedEuropean Journal of Applied Mathematics

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Differential Equations and Boundary Problems

Abstract

In this paper a one-dimensional parabolic variational inequality which typically arises in option pricing of fixed rate mortgage loan is studied. The main goal is to study the properties of the free boundary. The monotonicity and smoothness of free boundary are proved and its behavior near expiry is considered as well.

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References

1977An equilibrium characterization of the term structure 1992A Generalized Valuation Model for Fixed-Rate Residential Mortgages 1995The valuation at origination of fixed-rate mortgages with default and prepayment 1985Pricing Default Risk in Mortgages 1993Some mathematical results in the pricing of American options

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2007Optimal payment of mortgages

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