Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
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- Investigación (FIC) [1685]
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Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsuranceData
2015Cita bibliográfica
Calvo-Garrido, M. d. C., & Vázquez, C. (2015). Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance. Applied Mathematics and Computation, 271, 730-742. https://doi.org/10.1016/j.amc.2015.09.051
Resumo
[Abstract] 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.
Palabras chave
Fixed-rate mortgages
Jump-diffusion models
Option pricing
Complementarity problem
Numerical methods
Augmented Lagrangian Active Set formulation
Jump-diffusion models
Option pricing
Complementarity problem
Numerical methods
Augmented Lagrangian Active Set formulation
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Creative Commons Attribution-NonCommercial-NoDerivs 4.0 International (CC-BY-NC-ND)
