PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS
DOI10.1142/S0219024914500289zbMath1304.91236MaRDI QIDQ2874734
Gabriel Turinici, Timothee Papin
Publication date: 8 August 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
variational inequalityoption pricingAmerican optionCIR processswitching regimesperpetual optionfunding costsprepayment optionliquidity regimeloan prepaymentMarkov modulated dynamicsmortgage option
Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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Cites Work
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