Variational inequalities in stock loan models

DOI10.1007/s11081-011-9165-zzbMath1293.91201OpenAlexW2136436613MaRDI QIDQ400032

Zongxia Liang, Weiming Wu

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

zbMATH Keywords

Black-Scholes modelItō's formulaoptimal stopping problemsperpetual American optionstock loan modelvariational inequality method

Mathematics Subject Classification ID

Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Stock loan valuation under a stochastic interest rate model

Cites Work

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• 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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