The Liquidity Regimes and the Prepayment Option of a Corporate Loan in the Finite Horizon Case

Timothee Papin and Gabriel Turinici ()
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Timothee Papin: BNP Paribas CIB Resource Portfolio Management and CEREMADE, Université Paris Dauphine, France
Gabriel Turinici: CEREMADE, Université Paris, Dauphine and Institut Universitaire de France, Institut Universitaire de France, France

Global Credit Review (GCR), 2015, vol. 05, issue 01, 19-33

Abstract: No abstract received.

Keywords: Liquidity regime; loan prepayment; mortgage option; American option; option pricing; prepayment option; CIR process; switching regimes; Markov modulated dynamics (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1142/S2010493615500026

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