Title of article
A parabolic variational inequality arising from the valuation of fixed rate mortgages
Author/Authors
Yi، Fahuai نويسنده , , JIANG، LISHANG نويسنده , , BIAN، BAOJUN نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
-360
From page
361
To page
0
Abstract
In this paper a one-dimensional parabolic variational inequality which typically arises in option pricing of fixed rate mortgage loan is studied. The main goal is to study the properties of the free boundary. The monotonicity and C^(infinity) smoothness of free boundary are proved and its behavior near expiry is considered as well.
Keywords
Hardy space , inner function , shift operator , model , subspace , Hilbert transform , admissible majorant
Journal title
EUROPEAN JOURNAL OF APPLIED MATHEMATICS
Serial Year
2005
Journal title
EUROPEAN JOURNAL OF APPLIED MATHEMATICS
Record number
108081
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