Valuation of the prepayment option of a perpetual corporate loan
Year of publication: |
2013
|
---|---|
Authors: | Turinici, Gabriel ; Papin, Timothée |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Markov modulated dynamics | switching regimes | CIR process | prepayment option | Snell envelope | option pricing | perpetual option | American option | mortgage option | loan prepayment | liquidity regime |
-
Valuation of the prepayment option of a perpetual corporate loan
Papin, Timothée, (2013)
-
Valuation of the Prepayment Option of a Perpetual Corporate Loan
Papin, Timothée, (2013)
-
Prepayment option of a perpetual corporate loan: the impact of the funding costs
Papin, Timothée, (2012)
- More ...
-
Prepayment option of a perpetual corporate loan: the impact of the funding costs
Papin, Timothée, (2014)
-
Pricing of Corporate Loan : Credit Risk and Liquidity cost
Papin, Timothée, (2013)
-
The liquidity regimes and the prepayment option of a corporate loan in the finite horizon case
Papin, Timothée, (2014)
- More ...