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Timothée Papin, Gabriel Turinici

Public reference bibliography and cataloged PDF materials authored or published by Timothée Papin, Gabriel Turinici.

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Valuation of the Prepayment Option of a Perpetual Corporate Loan

Year: 2013 • Source: hal.science • Listed PDF

We investigate in this paper a perpetual prepayment option related to a corporate loan.The default intensity of the firmis supposed to follow a CIR process. We assume that the contractual margin of the loan is defined by...