PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS
DOI10.1142/S0219024914500289zbMath1304.91236MaRDI QIDQ2874734
Timothee Papin, Gabriel Turinici
Publication date: 8 August 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
variational inequality; option pricing; American option; CIR process; switching regimes; perpetual option; funding costs; prepayment option; liquidity regime; loan prepayment; Markov modulated dynamics; mortgage option
91G60: Numerical methods (including Monte Carlo methods)
93E20: Optimal stochastic control
91G80: Financial applications of other theories
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
91G50: Corporate finance (dividends, real options, etc.)
60J28: Applications of continuous-time Markov processes on discrete state spaces
Uses Software
