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Valuation of Fixed Rate Mortgages by Moving Boundary Approach

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Figure

Figure 1 :  Mortgage contract value V(r,�=10) versus the short term interest rate r.Other input model parameters are selected as follows: c = 0.085, m = 1.0,� = 0.07, k = 0.25 and � = 0.03.
Figure 3 :  The multi-stage approximate moving boundary and the exact early exercise boundary.

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