Valuation of stock loans using exponential phase-type Lévy models (Q907425)

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Valuation of stock loans using exponential phase-type Lévy models
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    title
    Valuation of stock loans using exponential phase-type Lévy models (English)
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    author
    Tat Wing Wong
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    Hoi Ying Wong
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    publication date
    25 January 2016
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    Mathematics Subject Classification ID
    91G20
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    60G40
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    60G51
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    zbMATH DE Number
    6535258
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    zbMATH Keywords
    stock loans
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    phase-type Lévy models
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    optimal stopping
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