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

optimal stopping timecapped call optioncapped stock loans

Mathematics Subject Classification ID

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

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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)

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

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