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In this paper, the model of firm's default possibility with parasian options feature is established by means of PDE method. Because the explicit solution can't be obtained, we calculate it by the method of Quasi-Monte Carlo, and the practice example of the numerical value analysis is given.
This paper considers the credit authorization problem in credit card companiespsila authorization systems. Customers are classified into several risk segments according to the type of services requested and the associated credit risk of customers. Card companies need to balance the risk exposure and the quality of customer service in the decision of referral/no referral. We formulate this problem...
Based on prepayment intensity process, this paper studies the valuation of fixed-rate mortgage contracts and an (game-theoretic) equilibrium model is built. Under the assumption of the rate process of time-homogeneous Markov chain and positive linear refinancing cost, the dynamic programming problem of the mortgagor is simplified to a Markov decision chain with only three discrete state variables...
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