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

References

• Y.   Achdou and O.   Pironneau , Computational Methods for Option Pricing , Frontiers in Applied Mathematics. Society for Industrial and Applied Mathematics ( 2005 ) . Crossref, Google Scholar
• A. Alfonsi, Monte Carlo Methods and Applications 11(4), 355 (2005). Crossref, Google Scholar
• M.   Bardi and I.   Capuzzo-Dolcetta , Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations ( Systems & Control: Foundations & Applications. Birkhäuser Boston Inc. , Boston, MA , 1997 ) . Crossref, Google Scholar
• G. Barles and J. Burdeau, Communications in Partial Differential Equations 20(2), 129 (1995). Crossref, Google Scholar
• A.   Bensoussan and J.-L.   Lions , Applications of Variational Inequalities in Stochastic Control , Transl. from the French, Studies in Mathematics and its Applications   12 ( North-Holland Publishing Company , 1982 ) . Google Scholar
• J.   Buffington and R.   Elliott , International Journal of Theoretical and Applied Finance   5 , 497 ( 2009 ) . Link, Google Scholar
• X. Chen and J. Chadam, SIAM Journal on Mathematical Analysis 38(5), 1613 (2007). Crossref, Google Scholar
• Y. Chenet al., Journal of Futures Markets 29(9), 840 (2009). Crossref, Google Scholar
• Cossin, D. E. A. (2002), Pricing Prepayment Option in C & I Loans at Origination, University of Lausanne — School of Economics and Business Administration (HEC-Lausanne) . Google Scholar
• J. C.   Cox , J. E.   Ingersoll and S. A.   Ross , Econometrica   53 , 385 ( 1985 ) . Crossref, Google Scholar
• M. G. Crandall, H. Ishii and P.-L. Lions, Bulletin of the American mathematical Society 27(1), 1 (1992). Crossref, Google Scholar
• G. Dionneet al., Journal of Banking and Finance 35(8), 1984 (2001). Crossref, Google Scholar
• J.-C. Duan, J. Sun and T. Wang, Journal of Econometrics 170(1), 191 (2012). Crossref, Google Scholar
• D. Duffie, L. Saita and K. Wang, Journal of Financial Economics 83(3), 635 (2007). Crossref, Google Scholar
• R. J. Elliott and T. K. Siu, Applied Mathematical Finance 16(1), 1 (2009). Crossref, Google Scholar
• X. Guo, Journal of Applied Probability 38(2), 464 (2001). Crossref, Google Scholar
• Hamilton, J. D. (2005). What's Real about the Business Cycle? Working Paper 11161, National Bureau of Economic Research, February . Google Scholar
• J.   Hillard , J. E.   Kau and V.   Slawson , Real Estate Economic   26 , 431 ( 1998 ) . Crossref, Google Scholar
• Y. Huang, P. A. Forsyth and G. Labahn, SIAM Journal on Scientific Computing 33(5), 2144 (2011). Crossref, Google Scholar
• P.   Jaillet , D.   Lamberton and B.   Lapeyre , Acta Applicandae Mathematicae   21 , 263 ( 1990 ) . Crossref, Google Scholar
• A. Jobert and L. C. G. Rogers, SIAM Journal on Control and Optimization 44(6), 2063 (2006). Crossref, Google Scholar
• D.   Lamberton and B.   Lapeyre , Introduction to Stochastic Calculus Applied to Finance , 2nd edn. ( Chapman & Hall/CRC , 2008 ) . Google Scholar
• D.   Lando , Credit Risk Modeling ( Princeton University Press , 2004 ) . Crossref, Google Scholar
• X. Liang and G. Wang, Insurance: Mathematics and Economics 51(3), 567 (2012). Crossref, Google Scholar
• R. S.   Mamon and M. R.   Rodrigo , Operations Research Letters   33 , 581 ( 2005 ) . Crossref, Google Scholar
• M.   Musiela and M.   Rutkowski , Martingale Methods in Financial Modelling ( Springer , 2005 ) . Crossref, Google Scholar
• R. Myneni, The Annals of Applied Probability 2(1), 1 (1992). Crossref, Google Scholar
• B.   Øksendal , Stochastic Differential Equations , Universitext ( Springer , 2007 ) . Google Scholar
• T.   Papin and G.   Turinici , Abstract and Applied Analysis   960789 ( 2013 ) , DOI: 10.1155/2013/960789 . Google Scholar
• T. Papin and G. Turinici, International Journal of Theoretical and Applied Finance 17(04), 1450028 (2014). Link, Google Scholar
• W. H.   Press et al. , Numerical Recipes. The Art of Scientific Computing , 3rd edn. ( Cambridge University Press , 2007 ) . Google Scholar
• E.   Schwartz and W.   Torous , American Real Estate and Urban Economics Association   21 , 431 ( 1993 ) . Crossref, Google Scholar
• D. E. Sichel, Journal of Business & Economic Statistics 12(3), 269 (1994). Crossref, Google Scholar
• T. K. Siu, Applied Mathematics and Computation 216(11), 3184 (2010). Crossref, Google Scholar
• T. K. Siu, H. Yang and J. W. Lau, Insurance: Mathematics and Economics 43(3), 295 (2008). Crossref, Google Scholar
• D. 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 Scholar
• Q. Zhang and X. Guo, SIAM Journal Applied Mathematics 64(6), 2034 (2004). Crossref, Google Scholar
• N. Zhou and R. Mamon, Expert Systems with Applications 39(5), 4679 (2011). Crossref, Google Scholar