Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance

被引：9
|
作者：
del Carmen Calvo-Garrido, Maria [1 ]
Vazquez, Carlos [1 ]
机构：
[1] Univ A Coruna, Dept Math, La Coruna 15071, Spain
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2015年 / 271卷
关键词：
Fixed-rate mortgages; Jump-diffusion models; Option pricing; Complementarity problem; Numerical methods; Augmented Lagrangian Active Set formulation; ORDER CHARACTERISTICS/FINITE ELEMENTS; NUMERICAL-ANALYSIS; AMERICAN; VALUATION; OPTIONS; DEFAULT;
D O I：
10.1016/j.amc.2015.09.051
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In the pricing of fixed rate mortgages with prepayment and default options, we introduce jump-diffusion models for the house price evolution. These models take into account sudden changes in the price (jumps) during bubbles and crisis situations in real estate markets. After posing the models based on partial-integro differential equations (PIDE) problems for the contract, insurance and the fraction of the total loss not covered by the insurance (coinsurance), we propose appropriate numerical methods to solve them. (C) 2015 Elsevier Inc. All rights reserved.
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页码：730 / 742
页数：13
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