Intensity-based framework and penalty formulation of optimal stopping problems

• 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
• Institution: National University of Singapore

10.1016/j.jedc.2007.01.016