Stock loan with automatic termination clause, cap and margin

DOI10.1016/j.camwa.2010.10.021zbMath1207.91064arXiv1005.1357OpenAlexW2122809697MaRDI QIDQ630714

Weiming Wu, Zongxia Liang, Shuqing Jiang

Publication date: 19 March 2011

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

Full work available at URL: https://arxiv.org/abs/1005.1357

zbMATH Keywords

Black-Scholes modeloptimal stopping problemstock loan modelautomatic termination clauseperpetual american option

Mathematics Subject Classification ID

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

Related Items (9)

SHORT SELLING WITH MARGIN RISK AND RECALL RISK ⋮ Variational inequalities in stock loan models ⋮ Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps ⋮ 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 ⋮ Valuation of stock loan under uncertain environment ⋮ Pricing of margin call stock loan based on the FMLS ⋮ Valuation of stock loan under uncertain stock model with floating interest rate

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Applied stochastic control of jump diffusions.
• Capped stock loans
• Fast and accurate pricing of barrier options under Lévy processes
• Analysis of quadrature methods for pricing discrete barrier options
• Valuation of segregated funds: shout options with maturity extensions.
• The valuation of American call options on the minimum of two dividend-paying assets
• PDE methods for pricing barrier options
• The valuation of American barrier options using the decomposition technique
• A barrier option of American type
• Analysis of pricing American options on the maximum (minimum) of two risk assets
• On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
• Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
• Barrier options and touch-and-out options under regular Lévy processes of exponential type
• Pricing double barrier options using Laplace transforms
• Comment on ``Pricing double barrier options using Laplace transforms by Antoon Pelsser
• Local time and the pricing of path-dependent options
• Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
• OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY
• Valuation of Stock Loans with Regime Switching
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• Pricing Options With Curved Boundaries¹
• The Valuation of American Options on Multiple Assets
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• STOCK LOANS

This page was built for publication: Stock loan with automatic termination clause, cap and margin