Stock loan with automatic termination clause, cap and margin
From MaRDI portal
Publication:630714
DOI10.1016/j.camwa.2010.10.021zbMath1207.91064arXiv1005.1357MaRDI 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
Black-Scholes model; optimal stopping problem; stock loan model; automatic termination clause; perpetual american option
91G20: Derivative securities (option pricing, hedging, etc.)
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