抵押贷款定价问题的稳态解
A Steady State Solution to a Mortgage Pricing Problem
摘要：
本文考虑了一个借款人支付固定利率的抵押贷款合同，并有提前还款的选择。假设市场利率服从CIR模型，建立了一个自由边界问题。在这里，我们专注于无限视界问题。利用变分方法，我们得到了问题的解析解，其中自由边界由一个超越代数方程隐式给出。
英文摘要：
This paper considers a mortgage contract where the borrower pays a fixed mortgage rate and has the choice of making prepayment. Assume the market interest follows the CIR model, a free boundary problem is formulated. Here we focus on the infinite horizon problem. Using variational method, we obtain an analytical solution to the problem, where the free boundary is implicitly given by a transcendental algebraic equation.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
