Stochastic volatility asymptotics of stock loans: valuation and optimal stopping

DOI10.1016/J.JMAA.2012.04.067zbMath1244.91098OpenAlexW2023101351MaRDI QIDQ439269

Hoi Ying Wong, Tat Wing Wong

Publication date: 1 August 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.04.067

zbMATH Keywords

optimal stoppingstock loansstochastic volatility asymptotics

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (10)

Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem ⋮ Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps ⋮ Real options approach for fashionable and perishable products using stock loan with regime switching ⋮ CEV asymptotics of American options ⋮ Valuation of non-recourse stock loan using an integral equation approach ⋮ FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY ⋮ 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

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