STOCK LOAN VALUATION UNDER A REGIME-SWITCHING MODEL WITHMEAN-REVERTING AND FINITE MATURITY
David PRAGER, Qing ZHANG
作者信息+
Department of Mathematics, University of Georgia, Athens, USA
{{custom_zuoZheDiZhi}}
{{custom_authorNodes}}
{{custom_bio.content}}
{{custom_bio.content}}
{{custom_authorNodes}}
折叠
STOCK LOAN VALUATION UNDER A REGIME-SWITCHING MODEL WITHMEAN-REVERTING AND FINITE MATURITY
David PRAGER, Qing ZHANG
Author information+
Department of Mathematics, University of Georgia, Athens, USA
{{custom_zuoZheDiZhi}}
{{custom_authorNodes}}
{{custom_bio.content}}
{{custom_bio.content}}
{{custom_authorNodes}}
Collapse
文章历史+
收稿日期
修回日期
出版日期
2009-08-26
2010-02-27
2010-06-25
发布日期
2010-06-25
摘要
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.
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.
David PRAGER
, Qing ZHANG. , {{custom_author.name_cn}}.
STOCK LOAN VALUATION UNDER A REGIME-SWITCHING MODEL WITHMEAN-REVERTING AND FINITE MATURITY. 系统科学与复杂性(英文), 2010, 23(3): 572-583 https://doi.org/10.1007/s11424-010-0146-7
David PRAGER
, Qing ZHANG. , {{custom_author.name_en}}.
STOCK LOAN VALUATION UNDER A REGIME-SWITCHING MODEL WITHMEAN-REVERTING AND FINITE MATURITY. Journal of Systems Science and Complexity, 2010, 23(3): 572-583 https://doi.org/10.1007/s11424-010-0146-7
PDF(377 KB)
