Modeling financial leasing by optimal stopping approach
Luigi De Cesare,
Lucianna Cananà,
Tiziana Ciano
et al.
Abstract:Leasing valuation is a topic that has aroused considerable interest in business circles. This paper examines leasing from the point of view of the lessor who can decide to leave the contract due to default. We analyze in introducing a model in which the lessor decides whether or not to terminate the contract at a given point in time, comparing it with the cost of capital of alternative investments. The proposed model is stochastic, and it is strongly based on correlated random walks, making it more adaptable t… Show more
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