Degree Type
Thesis
Date of Award
2009
Degree Name
Master of Science
Department
Mathematics
First Advisor
Steven Hou
Abstract
This thesis develops a model to price the fixed-rate mortgage with
default and prepayment as derivative assets, generally termed the
option-pricing approach to mortgage valuation. The problem is
considered in a stochastic environment when the house price follows
a log-normal diffusion process. A highly accurate numerical scheme
is presented to solve the partial differential equation of the value
of the mortgage. In order to simplify the method, the interest rate
is considered to be a constant within each month. Further, a
discount factor is graded to make the model more suitable to current
economic situation.
DOI
https://doi.org/10.31274/etd-180810-3096
Copyright Owner
Lin Tong
Copyright Date
2009
Language
en
Date Available
2012-04-28
File Format
application/pdf
File Size
51 pages
Recommended Citation
Tong, Lin, "Pricing mortgages with default and prepayment" (2009). Graduate Theses and Dissertations. 10320.
https://lib.dr.iastate.edu/etd/10320
