Stock loan valuation under a stochastic interest rate model

DOI10.1016/j.camwa.2015.07.019zbMath1443.91307OpenAlexW2195108025MaRDI QIDQ2006468

Liangbin Xu, Wen-Ting Chen, Song-Ping Zhu

Publication date: 11 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2015.07.019

zbMATH Keywords

stochastic interest rateADI methodstock loans

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (9)

Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps ⋮ On short-term loan interest rate models: a first passage time approach ⋮ Pricing European options under stochastic looping contagion risk model ⋮ Stock loan valuation based on the finite moment log-stable process ⋮ Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme ⋮ Inference in a Non-Homogeneous Vasicek Type Model ⋮ Pricing stock loans with the CGMY model ⋮ Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process ⋮ Valuation of stock loan under uncertain stock model with floating interest rate

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