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Stock Loans

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  • Jianming Xia
  • Xun Yu Zhou

Abstract

This paper introduces a mathematical model for a currently popular financial product called a stock loan. Quantitative analysis is carried out to establish explicitly the value of such a loan, as well as the ranges of fair values of the loan size and interest, and the fee for providing such a service.

Suggested Citation

  • Jianming Xia & Xun Yu Zhou, 2007. "Stock Loans," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 307-317, April.
    • Handle: RePEc:bla:mathfi:v:17:y:2007:i:2:p:307-317
    DOI: 10.1111/j.1467-9965.2006.00305.x
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    Cited by:

    1. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models," Papers 1505.07313, arXiv.org.
    2. Parsiad Azimzadeh, 2016. "Stock loans with liquidation," Papers 1602.00619, arXiv.org, revised Dec 2016.
    3. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "An Analytic Recursive Method For Optimal Multiple Stopping: Canadization And Phase-Type Fitting," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-31.
    4. Gunter H Meyer, 2016. "A PDE View of Games Options," Research Paper Series 369, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Marzia De Donno & Zbigniew Palmowski & Joanna Tumilewicz, 2020. "Double continuation regions for American and Swing options with negative discount rate in Lévy models," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 196-227, January.

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