Valuation of the prepayment option of a perpetual corporate loan
From MaRDI portal
Publication:370357
DOI10.1155/2013/960789zbMath1273.91454OpenAlexW1973165506WikidataQ58917816 ScholiaQ58917816MaRDI QIDQ370357
Gabriel Turinici, Timothee Papin
Publication date: 19 September 2013
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/960789
Related Items
Cites Work
- Perpetual American maximum options with Markov-modulated dynamics
- Martingale methods in financial modelling.
- Variational inequalities and the pricing of American options
- On the theory of option pricing
- Explicit solutions to European options in a regime-switching economy
- The pricing of the American option
- Pricing currency options under two-factor Markov-modulated stochastic volatility models
- An explicit solution to an optimal stopping problem with regime switching
- A Theory of the Term Structure of Interest Rates
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Methods for Pricing American Options under Regime Switching
- On the discretization schemes for the CIR (and Bessel squared) processes
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- Option Pricing With Markov-Modulated Dynamics
- ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Unnamed Item
- Unnamed Item
- Unnamed Item
