Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
W Hürlimann - Decisions in Economics and Finance, 2012 - Springer
The recombining binomial tree approach, which has been initiated by Cox et al.(J Financ
Econ 7: 229–263, 1979) and extended to arbitrary diffusion models by Nelson and …
Econ 7: 229–263, 1979) and extended to arbitrary diffusion models by Nelson and …
[PDF][PDF] Optimal Mortgage Refinancing Based on Monte Carlo Simulation.
J Zheng, S Gan, X Feng, D Xie - IAENG International Journal of Applied …, 2012 - iaeng.org
The pricing of mortgages in the context of stochastic interest rate plays an important role for
financial management. The contributing factors impacting the mortgage contract value have …
financial management. The contributing factors impacting the mortgage contract value have …
[PDF][PDF] The Least-squares Monte Carlo method for pricing options embedded in mortgages
D Ding, W Wang, L Wang - Journal of Applied Finance and Banking, 2016 - scienpress.com
This paper studies the pricing problems for options embedded in fixed rate mortgages by
simulation. The least-squares Monte Carlo method, which was initiated by Longstaff and …
simulation. The least-squares Monte Carlo method, which was initiated by Longstaff and …
[PDF][PDF] Theoretical and Numerical Study on Optimal Mortgage Refinancing Strategy
J Zheng - 2015 - core.ac.uk
This work studies optimal refinancing strategy for the debtors on the view of balancing the
profit and risk, where the strategy could be formulated as the utility optimization problem …
profit and risk, where the strategy could be formulated as the utility optimization problem …
[图书][B] Analytic Approximations to the Free Boundary and Multi-dimensional Problems in Financial Derivatives Pricing
CS Lau - 2014 - search.proquest.com
This thesis studies two types of problems in financial derivatives pricing. The first type is the
free boundary problem, which can be formulated as a partial differential equation (PDE) …
free boundary problem, which can be formulated as a partial differential equation (PDE) …
Numerical Method for Solving Free Boundary Problem Arising from Fixed Rate Mortgages
JD Kandilarov - International Conference on Large-Scale Scientific …, 2013 - Springer
In this paper a mortgage contract with a given duration and a fixed mortgage interest rate is
considered. The borrower is allowed to terminate the contract at any time at his choice by …
considered. The borrower is allowed to terminate the contract at any time at his choice by …