Papin, Timothée; Turinici, Gabriel - HAL - 2014
We investigate in this paper a perpetual prepayment option related to a corporate loan. The short interest rate and … bank is introduced and modeled as a continuous time discrete state Markov chain. The prepayment option needs specific …. It is found that the impact of the prepayment option on the loan value is not to be neglected and should be used to …