Pricing of Corporate Loan : Credit Risk and Liquidity cost
Year of publication: |
2013
|
---|---|
Authors: | Papin, Timothée |
Other Persons: | Turinici, Gabriel (contributor) |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Liquidité | Prêt corporate | Option américaine | Processus CIR | Chaîne de Markov | Liquidity | Loan prepayment | American option | CIR process | Switching regimes |
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