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The Obstacle Problem for the Pricing of the
Fixed Rate Mortgages

Jian Xiongfei;Yi Fahuai

Department of Mathematics, South China Normal University, Guangzhou 510631

Received:2005-10-13 Revised:2007-02-14 Online:2007-12-25 Published:2007-12-25
Contact: Jian Xiongfei

Abstract

Abstract: The authors consider the mortgages with the constant market enviroment and the constant contract rate.Suppose that the asset price moved as a geometric Brownian motion, an one-dimensional parabolic variational inequality which arises from the fixed mortgages is studied, the existence and uniquencess of the solution are obtained. Moreover, the monotonicity and the regularity of the free boundary are proved as well.

Key words: Option pricing, Fixed mortgages, Obstacle problem, Free boundary

CLC Number:

35R35

Jian Xiongfei;Yi Fahuai. The Obstacle Problem for the Pricing of the
Fixed Rate Mortgages[J].Acta mathematica scientia,Series A, 2007, 27(6): 987-995.

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The Obstacle Problem for the Pricing of the
Fixed Rate Mortgages

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The Obstacle Problem for the Pricing of the Fixed Rate Mortgages

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The Obstacle Problem for the Pricing of the
Fixed Rate Mortgages