Please use this identifier to cite or link to this item: https://doi.org/10.1111/j.1467-9965.2010.00449.x
Title: Optimal redeeming strategy of stock loans with finite maturity
Authors: Dai, M. 
Xu, Z.Q.
Keywords: Finite maturity
Optimal stopping
Optimal strategy
Stock loans
Issue Date: Oct-2011
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
URI: http://scholarbank.nus.edu.sg/handle/10635/103876
ISSN: 09601627
DOI: 10.1111/j.1467-9965.2010.00449.x
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