Valuation of stock loans under a Markov chain model

DOI10.1007/S11424-015-3257-3zbMath1411.91602OpenAlexW2180575390MaRDI QIDQ2416529

Qing Zhang, David Prager

Publication date: 23 May 2019

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-015-3257-3

zbMATH Keywords

closed-form solutionMarkov chain modelstock loan

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40)

Cites Work

• STOCK LOANS

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