We prove that in a discrete-time market model the lower arbitrage bound of an American contingent claim is itself an arbitrage-free price if and only if it corresponds to the price of the claim optimally exercised under some equivalent martingale measure.

We investigate the prepayment option related to a corporate loan. The default intensity of the firm is supposed to follow a Cox-Ingersoll-Ross (CIR) process and the short interest rate is assumed constant. A liquidity term that represents the funding costs of the bank is introduced and modeled...

Предложен и обоснован алгоритм решения задачи об оптимальной остановке с конечным горизонтом. Основываясь на этом алгоритме, реализованном в системе...

We investigate in this paper a perpetual prepayment option related to a corporate loan. The default intensity of the rm is supposed to follow a CIR process. We assume the contractual margin of the loan is de ned by the credit quality of the borrower and the liquidity cost that re ects the...

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 the credit quality of the borrower and the liquidity cost that reflects the...

We 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...