Prepayment option of a perpetual corporate loan: the impact of the funding costs
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DOI: 10.1142/S0219024914500289
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Cited by:
- Milan Kumar Das & Anindya Goswami, 2019. "Testing of binary regime switching models using squeeze duration analysis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-20, March.
- Milan Kumar Das & Anindya Goswami, 2018. "Testing of Binary Regime Switching Models using Squeeze Duration Analysis," Papers 1807.04393, arXiv.org, revised Aug 2018.
- Milan Kumar Das & Anindya Goswami & Sharan Rajani, 2019. "Inference of Binary Regime Models with Jump Discontinuities," Papers 1910.10606, arXiv.org, revised Mar 2022.
- Biswas, Arunangshu & Goswami, Anindya & Overbeck, Ludger, 2018. "Option pricing in a regime switching stochastic volatility model," Statistics & Probability Letters, Elsevier, vol. 138(C), pages 116-126.
- Arunangshu Biswas & Anindya Goswami & Ludger Overbeck, 2017. "Option Pricing in a Regime Switching Stochastic Volatility Model," Papers 1707.01237, arXiv.org, revised Jan 2018.
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More about this item
Keywords
Markov modulated dynamics; funding costs; liquidity regime; loan prepayment; mortgage option; American option; perpetual option; option pricing; variational inequality; prepayment option; CIR process; switching regimes; Markov modulated dynamics.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2014-07-05 (Banking)
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