Valuation of stock loans using exponential phase-type Lévy models

DOI10.1016/j.amc.2013.07.049zbMath1329.91131OpenAlexW2050002971MaRDI QIDQ907425

Hoi Ying Wong, Tat Wing Wong

Publication date: 25 January 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.07.049

zbMATH Keywords

optimal stoppingstock loansphase-type Lévy models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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