Capped stock loans

DOI10.1016/J.CAMWA.2010.03.048zbMATH Open1197.91185OpenAlexW2077255689MaRDI QIDQ710965FDOQ710965

Authors: Guangying Liu, Yongqing Xu 

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

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zbMATH Keywords

optimal stopping timecapped call optioncapped stock loans

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• Title not available (Why is that?)
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• Valuation of stock loans with regime switching
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Cited In (10)

• Variational inequalities in stock loan models
• Short selling with margin risk and recall risk
• Stock loan with automatic termination clause, cap and margin
• Stock loan valuation based on the finite moment log-stable process
• Stabilization of a stock-loan valuation PDE process using differential flatness theory
• Valuation of the stock loans with counterparty risk
• Semi-analytic valuation of stock loans with finite maturity
• Valuation of non-recourse stock loan using an integral equation approach
• Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
• Pricing finite-maturity American capped stock loan

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