OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY

DOI10.1111/j.1467-9965.2010.00449.xzbMath1277.91168arXiv0906.0702OpenAlexW2167909072MaRDI QIDQ3100755

Zuo Quan Xu, Min Dai

Publication date: 21 November 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.0702

zbMATH Keywords

optimal strategyoptimal stoppingstock loansfinite maturityredeeming strategy

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

An optimal consumption-investment model with constraint on consumption ⋮ Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem ⋮ Variational inequalities in stock loan models ⋮ Stock loan with automatic termination clause, cap and margin ⋮ Real options approach for fashionable and perishable products using stock loan with regime switching ⋮ Stochastic volatility asymptotics of stock loans: valuation and optimal stopping ⋮ Valuation of stock loans with jump risk

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