Stock loan with automatic termination clause, cap and margin

DOI10.1016/j.camwa.2010.10.021zbMath1207.91064arXiv1005.1357MaRDI QIDQ630714

Zongxia Liang, Weiming Wu, Shuqing Jiang

Publication date: 19 March 2011

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.1357

zbMATH Keywords

Black-Scholes model; optimal stopping problem; stock loan model; automatic termination clause; perpetual american option

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Variational inequalities in stock loan models

Cites Work

• Applied stochastic control of jump diffusions.
• Capped stock loans
• Fast and accurate pricing of barrier options under Lévy processes
• Analysis of quadrature methods for pricing discrete barrier options
• Valuation of segregated funds: shout options with maturity extensions.
• The valuation of American call options on the minimum of two dividend-paying assets
• PDE methods for pricing barrier options
• The valuation of American barrier options using the decomposition technique
• A barrier option of American type
• Analysis of pricing American options on the maximum (minimum) of two risk assets
• On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
• Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
• Barrier options and touch-and-out options under regular Lévy processes of exponential type
• Pricing double barrier options using Laplace transforms
• Comment on ``Pricing double barrier options using Laplace transforms by Antoon Pelsser
• Local time and the pricing of path-dependent options
• Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
• 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
• Pricing Options With Curved Boundaries¹
• The Valuation of American Options on Multiple Assets
• OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
• STOCK LOANS
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item