Stock loan valuation under a stochastic interest rate model
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Publication:2006468
DOI10.1016/J.CAMWA.2015.07.019zbMATH Open1443.91307OpenAlexW2195108025MaRDI QIDQ2006468FDOQ2006468
Authors: Liangbin Xu, Wen-Ting Chen, Song-Ping Zhu 
Publication date: 11 October 2020
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2015.07.019
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
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- Heat conduction in a melting solid
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- Semi-analytic valuation of stock loans with finite maturity
- 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 LOANS
- Variational inequalities in stock loan models
- Stock loan with automatic termination clause, cap and margin
- A new predictor-corrector scheme for valuing American puts
- A Numerical Approach for the American Call Option Pricing Model
- Stock loans in incomplete markets
- A pricing model for American options with Gaussian interest rates
Cited In (17)
- Inference in a Non-Homogeneous Vasicek Type Model
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default
- Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
- STOCK LOANS
- Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
- Stock loan valuation based on the finite moment log-stable process
- Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
- Stabilization of a stock-loan valuation PDE process using differential flatness theory
- Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
- Valuation of non-recourse stock loan using an integral equation approach
- Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
- Pricing European options under stochastic looping contagion risk model
- Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
- Valuation of stock loan under uncertain stock model with floating interest rate
- On short-term loan interest rate models: a first passage time approach
- Pricing stock loans with the CGMY model
- Valuation of stock loans using exponential phase-type Lévy models
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