摘要
利用期权定价理论,固定支付利率抵押贷款定价问题可以模型为一个自由边界问题或变分不等式方程.该文用偏微分方程理论证明了抵押贷款价格受一些因素影响的结果,并通过具体计算实例说明了抵押贷款的风险特性.
The Fixed-Rate-Mortgage pricing problem can be modified as a free boundary problem or a variational inequality by the option theory.Based on the theory of partial differential equation,some explicit effects of the variables on the mortgage price are proved.The character of the mortgage risk is illustrated through calculation of some examples .
出处
《高校应用数学学报（A辑）》
CSCD
北大核心
2004年第3期353-362,共10页
Applied Mathematics A Journal of Chinese Universities(Ser.A)
基金
国家自然科学基金(10171078)
关键词
抵押贷款
提前支付
违约
自由边界
变分不等式
mortgage
prepayment
default
free-boundary problem
variation inequality
