Valuation of the Prepayment Option of a Perpetual Corporate Loan
Year of publication: |
2013-03-25
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Authors: | Papin, Timothée ; Turinici, Gabriel |
Institutions: | HAL |
Subject: | liquidity regime | loan prepayment | mortgage option | American option | perpetual option | option pricing | Snell envelope | prepayment option | CIR process | switching regimes | Markov modulated dynamics |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00653041 Published, Abstract and Applied Analysis, 2013, 2013, 960789 |
Source: |
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Valuation of the prepayment option of a perpetual corporate loan
Papin, Timothée, (2013)
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Valuation of the prepayment option of a perpetual corporate loan
Turinici, Gabriel, (2013)
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Prepayment option of a perpetual corporate loan: the impact of the funding costs
Papin, Timothée, (2012)
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The liquidity regimes and the prepayment option of a corporate loan in the finite horizon case
Papin, Timothée, (2014)
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Valuation of the prepayment option of a perpetual corporate loan
Papin, Timothée, (2013)
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Prepayment option of a perpetual corporate loan: the impact of the funding costs
Papin, Timothée, (2012)
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