A reduced modelling approach to the pricing of mortgage backed securities
We consider a pricing model for mortgage backed securities formulated as a non-linear partial differential equation. We show that under certain feasible assumptions this model can be greatly simplified. We prove the well posedness of the simplified PDE.
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| Định dạng: | Bài viết |
| Ngôn ngữ: | English |
| Được phát hành: |
Texas State University
2010-09-01
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| Loạt: | Electronic Journal of Differential Equations |
| Những chủ đề: | |
| Truy cập trực tuyến: | http://ejde.math.txstate.edu/Volumes/2010/136/abstr.html |