Stock loan valuation under a stochastic interest rate model

DOI10.1016/J.CAMWA.2015.07.019MaRDI QIDQ2006468zbMATHOpenAlexFDO

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

zbMATH Keywords

stochastic interest rateADI methodstock loans

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• A Numerical Approach for the American Call Option Pricing Model
• A new predictor-corrector scheme for valuing American puts
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• A pricing model for American options with Gaussian interest rates
• Heat conduction in a melting solid
• Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
• STOCK LOANS
• Semi-analytic valuation of stock loans with finite maturity
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• Stock loan with automatic termination clause, cap and margin
• Stock loans in incomplete markets
• Survey of the stability of linear finite difference equations
• The Numerical Solution of Parabolic and Elliptic Differential Equations
• The pricing of options and corporate liabilities
• Variational inequalities in stock loan models

Cited in

(17)

• On short-term loan interest rate models: a first passage time approach
• Inference in a Non-Homogeneous Vasicek Type Model
• Stock loan valuation based on the finite moment log-stable process
• 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
• 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
• Valuation of stock loan under uncertain stock model with floating interest rate
• Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
• STOCK LOANS
• Stabilization of a stock-loan valuation PDE process using differential flatness theory
• Pricing stock loans with the CGMY model
• Pricing European options under stochastic looping contagion risk model
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• Valuation of stock loans using exponential phase-type Lévy models
• Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
• Stock loan valuation under a regime-switching model with mean-reverting and finite maturity

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