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American option
5
CIR process
5
Markov modulated dynamics
5
liquidity regime
5
loan prepayment
5
mortgage option
5
option pricing
5
prepayment option
5
switching regimes
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perpetual option
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Snell envelope
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funding costs
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Papin, Timothée
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Turinici, Gabriel
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HAL
National Bureau of Economic Research
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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RePEc
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The liquidity regimes and the prepayment option of a corporate loan in the finite horizon case
Papin, Timothée
;
Turinici, Gabriel
-
HAL
-
2014
follow a Cox-Ingersoll-Ross (
CIR
) process and the short interest rate is assumed constant. A liquidity term that represents …
Persistent link: https://www.econbiz.de/10010936663
Saved in:
2
Prepayment option of a perpetual corporate loan: the impact of the funding costs
Papin, Timothée
;
Turinici, Gabriel
-
HAL
-
2014
default intensity of the firm are supposed to follow
CIR
processes. A liquidity term that represents the funding costs of the …
Persistent link: https://www.econbiz.de/10010820872
Saved in:
3
Valuation of the prepayment option of a perpetual corporate loan
Papin, Timothée
;
Turinici, Gabriel
-
HAL
-
2013
is supposed to follow a
CIR
process. We assume the contractual margin of the loan is de ned by the credit quality of the …
Persistent link: https://www.econbiz.de/10009645476
Saved in:
4
Valuation of the Prepayment Option of a Perpetual Corporate Loan
Papin, Timothée
;
Turinici, Gabriel
-
HAL
-
2013
firmis supposed to follow a
CIR
process. We assume that the contractual margin of the loan is defined by the credit quality …
Persistent link: https://www.econbiz.de/10010633399
Saved in:
5
Prepayment option of a perpetual corporate loan: the impact of the funding costs
Papin, Timothée
;
Turinici, Gabriel
-
HAL
-
2012
default intensity of the firm are supposed to follow
CIR
processes. A liquidity term that represents the funding costs of the …
Persistent link: https://www.econbiz.de/10010775945
Saved in:
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