Stock Loans in Incomplete Markets

DOI10.1080/1350486X.2012.660318zbMath1457.91376arXiv1010.2110MaRDI QIDQ3176522

M. R. Grasselli, Cesar A. Gómez

Publication date: 20 July 2018

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

Full work available at URL: https://arxiv.org/abs/1010.2110

zbMATH Keywords

incomplete marketsindifference pricingstock loansilliquid assets

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Black economic empowerment regulation and risk incentives ⋮ SHORT SELLING WITH MARGIN RISK AND RECALL RISK ⋮ Valuation of non-recourse stock loan using an integral equation approach ⋮ Stock loan valuation based on the finite moment log-stable process ⋮ Stock loan valuation under a stochastic interest rate model ⋮ Pricing of margin call stock loan based on the FMLS

Cites Work

• Valuing the option to invest in an incomplete market
• Stochastic calculus for finance. II: Continuous-time models.
• Pricing early exercise contracts in incomplete markets
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• STOCK LOANS

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