Please use this identifier to cite or link to this item:
|Title:||Optimal redeeming strategy of stock loans with finite maturity|
|Authors:||Dai, M. |
|Citation:||Dai, M., Xu, Z.Q. (2011-10). Optimal redeeming strategy of stock loans with finite maturity. Mathematical Finance 21 (4) : 775-793. ScholarBank@NUS Repository. https://doi.org/10.1111/j.1467-9965.2010.00449.x|
|Abstract:||A stock loan is a loan, secured by a stock, which gives the borrower the right to redeem the stock at any time before or on the loan maturity. The way of dividends distribution has a significant effect on the pricing of stock loans and the optimal redeeming strategy adopted by the borrower. We present the pricing models of the finite maturity stock loans subject to various ways of dividend distribution. Because closed-form price formulas are generally not available, we provide a thorough analysis to examine the optimal redeeming strategy. Numerical results are presented as well. © 2010 Wiley Periodicals, Inc.|
|Source Title:||Mathematical Finance|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on May 21, 2018
WEB OF SCIENCETM
checked on Apr 30, 2018
checked on May 11, 2018
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.