Intensity-based framework and penalty formulation of optimal stopping problems

Intensity-based framework and penalty formulation of optimal stopping problems

10.1016/j.jedc.2007.01.016

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Bibliographic Details
Main Authors: Dai, M., Kwok, Y.K., You, H.
Other Authors: MATHEMATICS
Format: Article
Published: 2014
Subjects:
Callable feature
Event risk
Intensity approach
Linear complementarity formulation
Mortgage prepayment
Penalty method
Online Access:http://scholarbank.nus.edu.sg/handle/10635/103435
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Institution: National University of Singapore
Description
Summary:10.1016/j.jedc.2007.01.016

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