Valuation of the prepayment option of a perpetual corporate loan
Year of publication: |
2013-12-16
|
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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 |
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