کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6419138 | 1339372 | 2012 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Stochastic volatility asymptotics of stock loans: Valuation and optimal stopping
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
A stock loan, or equity security lending service, is a loan which uses stocks as collateral. The borrower has the right to repay the principal with interest and regain the stock, or make no repayment and surrender the stock. Therefore, the valuation of stock loan is an optimal stopping problem related to a perpetual American option with a negative effective interest rate. The negative effective interest rate makes standard techniques for perpetual American option pricing failure. Using a fast mean-reverting stochastic volatility model, we applied a perturbation technique to the free-boundary value problem for the stock loan price. An analytical pricing formula and optimal exercise boundary are derived by means of asymptotic expansion.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 394, Issue 1, 1 October 2012, Pages 337-346
Journal: Journal of Mathematical Analysis and Applications - Volume 394, Issue 1, 1 October 2012, Pages 337-346
نویسندگان
Tat Wing Wong, Hoi Ying Wong,