Stock loan valuation under a regime-switching model with mean-reverting and finite maturity |
| |
Authors: | David Prager Qing Zhang |
| |
Institution: | 1.Department of Mathematics,University of Georgia,Athens,USA |
| |
Abstract: | Stock loans are business contracts between borrowers and lenders in which the borrower uses shares of stock as collateral
for the loan. Since the value of the collateral is subject to wide and frequent price swings, valuing such a transaction behaves
more like an option pricing problem than a debt valuation problem. This paper will list, prove, and analyze formulas for stock
loan valuation with finite horizon under various stock models, including classical geometric Brownian motion, mean-reverting,
and two-state regime-switching with both mean-reverting and geometric Brownian motion states. Numerical examples are reported
to illustrate the results. |
| |
Keywords: | |
本文献已被 CNKI SpringerLink 等数据库收录! |
|