Pricing finite-maturity American capped stock loan

DOI10.1360/SCM-2016-0618MaRDI QIDQ5064102zbMATH OpenOpenAlexWikidataFDO

Authors Jingtang Ma, Li Yan, Zhiqiang Zhou

Publication date 21 March 2022

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1360/scm-2016-0618

zbMATH Keywords

capped stock loanintegral equationoptimal exercise boundarystochastic interest ratezero-coupon bond

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Capped stock loans
• Valuation of stock loans with jump risk
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• Variational inequalities in stock loan models
• Stock loan with automatic termination clause, cap and margin

Cited in

(12)

• Valuation of stock loans with jump risk
• Stock loan valuation under a stochastic interest rate model
• Semi-analytic valuation of stock loans with finite maturity
• Valuation of non-recourse stock loan using an integral equation approach
• Pricing stock loans with the CGMY model
• Variational inequalities in stock loan models
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• Finite maturity American-style stock loans with regime-switching volatility
• Valuation of the stock loans with counterparty risk
• Stock loan with automatic termination clause, cap and margin
• Capped stock loans
• Valuation of stock loan under uncertain stock model with floating interest rate

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