Calvo-Garrido, María-del-CarmenVázquez, Carlos2024-01-292024-01-292018Calvo-Garrido, M. d. C., & Vázquez, C. (2018). Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options. Nonlinear Analysis: Real World Applications, 39, 157-165. https://doi.org/10.1016/j.nonrwa.2017.06.009http://hdl.handle.net/2183/35193[Abstract] In this paper, we address the mathematical analysis of a partial differential equation model for pricing fixed-rate mortgages with prepayment and default options, where the underlying stochastic factors are the house price and the interest rate. The mathematical model is posed in terms of a sequence of linked complementarity problems, one for each month of the loan life, associated with a uniformly parabolic operator. We study the existence of a strong solution to each one of the obstacle problems.engCreative Commons Attribution-NonCommercial-NoDerivs 4.0 International (CC-BY-NC-ND)http://creativecommons.org/licenses/by-nc-nd/3.0/es/Fixed-rate mortgagesObstacle problemUniformly parabolic operatorStrong solutionjournal articleopen accesshttps://doi.org/10.1016/j.nonrwa.2017.06.009