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A new numerical method for pricing fixed-rate mortgages with prepayment and default options.
María del Carmen Calvo-Garrido
Carlos Vázquez
Published in:
Int. J. Comput. Math. (2016)
Keyphrases
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numerical methods
option pricing
differential equations
black scholes model
partial differential equations
double exponential
boundary element method
numerical solution
approximation schemes
level set method
dynamic pricing
multiscale
computational complexity
supply chain
finite element method