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• W1958141846 abstract "Global Credit ReviewVol. 05, No. 01, pp. 19-33 (2015) No AccessThe Liquidity Regimes and the Prepayment Option of a Corporate Loan in the Finite Horizon CaseTimothee Papin and Gabriel TuriniciTimothee PapinBNP Paribas CIB Resource Portfolio Management and CEREMADE, Université Paris Dauphine, France and Gabriel TuriniciCEREMADE, Université Paris, Dauphine and Institut Universitaire de France, Institut Universitaire de France, Francehttps://doi.org/10.1142/S2010493615500026Cited by:0 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail Keywords:Liquidity regimeloan prepaymentmortgage optionAmerican optionoption pricingprepayment optionCIR processswitching regimesMarkov modulated dynamics References Y. Achdou and O. Pironneau , Computational Methods for Option Pricing , Frontiers in Applied Mathematics. Society for Industrial and Applied Mathematics ( 2005 ) . 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Yang and J. W. Lau, Insurance: Mathematics and Economics 43(3), 295 (2008). Crossref, Google ScholarD. D. Yao, Q. Zhang and X. Y. Zhou, Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems, International Series in Operations Research & Management Science 94, eds. H. Yan, G. Yin and Q. Zhang (Springer, 2006) pp. 281–300. Crossref, Google ScholarQ. Zhang and X. Guo, SIAM Journal Applied Mathematics 64(6), 2034 (2004). Crossref, Google ScholarN. Zhou and R. Mamon, Expert Systems with Applications 39(5), 4679 (2011). Crossref, Google Scholar FiguresReferencesRelatedDetails Recommended Vol. 05, No. 01 Metrics History KeywordsLiquidity regimeloan prepaymentmortgage optionAmerican optionoption pricingprepayment optionCIR processswitching regimesMarkov modulated dynamicsPDF download" @default.
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