OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY

DOI10.1111/j.1467-9965.2010.00449.xzbMath1277.91168arXiv0906.0702MaRDI QIDQ3100755

Min Dai, Zuo Quan Xu

Publication date: 21 November 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.0702

zbMATH Keywords

optimal strategy; optimal stopping; stock loans; finite maturity; redeeming strategy

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem, Stochastic volatility asymptotics of stock loans: valuation and optimal stopping, Stock loan with automatic termination clause, cap and margin

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