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dc.contributor.authorPapin, Timothée
dc.contributor.authorTurinici, Gabriel
HAL ID: 16
ORCID: 0000-0003-2713-006X
dc.date.accessioned2012-01-03T14:49:16Z
dc.date.available2012-01-03T14:49:16Z
dc.date.issued2013
dc.identifier.issn1085-3375
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7818
dc.language.isoenen
dc.subjectCIR process
dc.subjectprepayment option
dc.subjectSnell envelope
dc.subjectoption pricing
dc.subjectperpetual option
dc.subjectAmerican option
dc.subjectmortgage option
dc.subjectswitching regimes
dc.subjectloan prepayment
dc.subjectMarkov modulated dynamics
dc.subjectliquidity regime
dc.subject.ddc332en
dc.subject.classificationjelE4en
dc.titleValuation of the prepayment option of a perpetual corporate loan
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe investigate in this paper a perpetual prepayment option related to a corporate loan. The default intensity of the firm is supposed to follow a CIR process. Two frameworks are discussed: first a constant interest rate and a secondly a multi-regime framework where the interest rate is augmented by a liquidity factor dependent on the regime. The prepayment option needs specific attention as the payoff itself is an implicit function of the parameters of the problem and of the dynamics. We establish in the unique regime case analytic formulas for the payoff of the option; in both cases we give a verification result that allows to compute the price of the option. Numerical results that implement the findings are also presented and are completely consistent with the theory; it is seen that when liquidity parameters are very different (i.e., when a liquidity crisis occur) in the high liquidity cost regime the exercise domain may entirely disappear meaning that it is not optimal for the borrower to prepay during such a liquidity crisis. The method allows to quantify and interpret these findings.
dc.relation.isversionofjnlnameAbstract and Applied Analysis
dc.relation.isversionofjnlvol2013
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpagesID 960789
dc.relation.isversionofdoihttp://dx.doi.org/10.1155/2013/960789
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-00653041
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherMancorp Pub
dc.subject.ddclabelEconomie financièreen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-09-11T13:16:54Z


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