Stock loans

被引：48

作者：

Xia, Jianming ^{[1
]}

Zhou, Xun Yu

机构：

[1] Chinese Acad Sci, Ctr Financial Engn & Risk Management, Acad Math & Syst Sci, Beijing 100080, Peoples R China

[2] Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Hong Kong, Hong Kong, Peoples R China

来源：

MATHEMATICAL FINANCE | 2007年 / 17卷 / 02期

关键词：

stock loan; Black-Scholes model; call option; stopping time;

D O I：

10.1111/j.1467-9965.2006.00305.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：307 / 317

页数：11

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