Variational inequalities in stock loan models
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Publication:400032
DOI10.1007/s11081-011-9165-zzbMath1293.91201OpenAlexW2136436613MaRDI QIDQ400032
Publication date: 20 August 2014
Published in: Optimization and Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11081-011-9165-z
Black-Scholes modelItō's formulaoptimal stopping problemsperpetual American optionstock loan modelvariational inequality method
Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- Stock loan with automatic termination clause, cap and margin
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- OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY
- Valuation of Stock Loans with Regime Switching
- MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
- The Valuation of American Options on Multiple Assets
- STOCK LOANS
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