Capped stock loans

DOI10.1016/J.CAMWA.2010.03.048MaRDI QIDQ710965zbMATH OpenOpenAlexFDO

Authors Guangying Liu, Yongqing Xu

Publication date 23 October 2010

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2010.03.048

zbMATH Keywords

capped call optioncapped stock loansoptimal stopping time

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Pricing finite-maturity American capped stock loan
• Stock loan with automatic termination clause, cap and margin
• Valuation of stock loan under uncertain stock model with floating interest rate
• STOCK LOANS
• Valuation of the stock loans with counterparty risk

Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• STOCK LOANS
• Valuation of stock loans with regime switching

Cited in

(10)

• Stock loan valuation based on the finite moment log-stable process
• Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
• Semi-analytic valuation of stock loans with finite maturity
• Valuation of non-recourse stock loan using an integral equation approach
• Variational inequalities in stock loan models
• Pricing finite-maturity American capped stock loan
• Short selling with margin risk and recall risk
• Valuation of the stock loans with counterparty risk
• Stock loan with automatic termination clause, cap and margin
• Stabilization of a stock-loan valuation PDE process using differential flatness theory

This page was built for publication: Capped stock loans

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q710965)