VALUATION OF STOCK LOANS WITH REGIME SWITCHING

被引：51

作者：

Zhang, Qing ^{[1
]}

Zhou, Xun Yu ^{[2
,3
,4
]}

机构：

[1] Univ Georgia, Dept Math, Athens, GA 30602 USA

[2] Univ Oxford, Nomura Ctr Math Finance, Oxford OX1 3LB, England

[3] Univ Oxford, Oxford Man Inst Quantitat Finance, Oxford OX1 3LB, England

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

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2009年 / 48卷 / 03期

关键词：

stock loan; regime switching; variational inequalities; optimal stopping; smooth fit; MODEL;

D O I：

10.1137/070708998

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper is concerned with stock loan valuation in which the underlying stock price is dictated by geometric Brownian motion with regime switching. The stock loan pricing is quite different from that for standard American options because the associated variational inequalities may have infinitely many solutions. In addition, the optimal stopping time equals infinity with positive probability. Variational inequalities are used to establish values of stock loans and reasonable values of critical parameters such as loan sizes, loan rates, and service fees in terms of certain algebraic equations. Numerical examples are included to illustrate the results.

引用

页码：1229 / 1250

页数：22

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[4]

DAI M, 2008, OPTIMAL REDEEMING ST