Papin, Timothée; Turinici, Gabriel - HAL - 2013
a loan margin without liquidity cost and secondly a multiregime framework with a liquidity cost dependent on the regime … the dynamics. In the unique regime case, we establish quasianalytic formulas for the payoff of the option; in both cases … parameters are very different (i.e., when a liquidity crisis occurs) in the high liquidity cost regime, the exercise domain may …