Capped stock loans
From MaRDI portal
Publication:710965
DOI10.1016/j.camwa.2010.03.048zbMath1197.91185MaRDI QIDQ710965
Publication date: 23 October 2010
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2010.03.048
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
Related Items
SHORT SELLING WITH MARGIN RISK AND RECALL RISK, Variational inequalities in stock loan models, Stock loan with automatic termination clause, cap and margin, Stock loan valuation based on the finite moment log-stable process, Data driven confidence intervals for diffusion process using double smoothing empirical likelihood, Semi-analytic valuation of stock loans with finite maturity, Valuation of non-recourse stock loan using an integral equation approach
Cites Work