Stock loan valuation under a regime-switching model with mean-reverting and finite maturity

DOI10.1007/s11424-010-0146-7zbMath1198.91212OpenAlexW2003410988MaRDI QIDQ601072

Qing Zhang, David Prager

Publication date: 3 November 2010

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

Full work available at URL: https://doi.org/10.1007/s11424-010-0146-7

zbMATH Keywords

regime switchingmean reversionstock loan

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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