Capped stock loans

DOI10.1016/j.camwa.2010.03.048zbMath1197.91185OpenAlexW2077255689MaRDI QIDQ710965

Guangying Liu, Yongqing Xu

Publication date: 23 October 2010

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

Full work available at URL: https://doi.org/10.1016/j.camwa.2010.03.048

zbMATH Keywords

optimal stopping timecapped call optioncapped stock loans

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (7)

SHORT SELLING WITH MARGIN RISK AND RECALL RISK ⋮ Variational inequalities in stock loan models ⋮ Semi-analytic valuation of stock loans with finite maturity ⋮ Stock loan with automatic termination clause, cap and margin ⋮ Valuation of non-recourse stock loan using an integral equation approach ⋮ Stock loan valuation based on the finite moment log-stable process ⋮ Data driven confidence intervals for diffusion process using double smoothing empirical likelihood

Cites Work

• Valuation of Stock Loans with Regime Switching
• STOCK LOANS
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