摘要翻译:
本文考虑了一个借款人支付固定抵押率并有提前还款选择的抵押合同。假设市场利益服从CIR模型,建立了一个自由边界问题。这里我们集中讨论无限视界问题。利用变分方法,我们得到了问题的解析解,其中自由边界由一个超越代数方程隐式给出。
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英文标题:
《A Steady State Solution to a Mortgage Pricing Problem》
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作者:
Dejun Xie
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最新提交年份:
2009
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类:Mathematics 数学
二级分类:Analysis of PDEs 偏微分方程分析
分类描述:Existence and uniqueness, boundary conditions, linear and non-linear operators, stability, soliton theory, integrable PDE's, conservation laws, qualitative dynamics
存在唯一性,边界条件,线性和非线性算子,稳定性,孤子理论,可积偏微分方程,守恒律,定性动力学
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英文摘要:
This paper considers a mortgage contract where the borrower pays a fixed mortgage rate and has the choice of making prepayment. Assume the market interest follows the CIR model, a free boundary problem is formulated. Here we focus on the infinite horizon problem. Using variational method, we obtain an analytical solution to the problem, where the free boundary is implicitly given by a transcendental algebraic equation.
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PDF链接:
https://arxiv.org/pdf/0909.5389