Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/15523
Title: Pricing finite maturity American style stock loans
Authors: ZHANG HUIFENG
Keywords: Stock loan, negative interest rate, American path dependent, optimal exercise boundary, modified binomial tree, continuous/discrete dividend
Issue Date: 25-Oct-2006
Source: ZHANG HUIFENG (2006-10-25). Pricing finite maturity American style stock loans. ScholarBank@NUS Repository.
Abstract: We use PDE approach to study American style stock loan with finite maturity. Pricing models of stock loans with dividend paid to the loaner as well as to the borrower are constructed. Stock loan value is calculated using normal and modified binomial tree method since there are no explicit solutions. Asymptotic solution of stock loans with dividend paid to the loaner was given in closed form. We also analyze the properties of optimal exercise boundaries of stock loans and find out the optimal exercise boundaries numerically. We further explored stock loans with underlying stock paying discrete dividend by modeling the jump condition on dividend payment date and applying similar analyses between two dividend payments.
URI: http://scholarbank.nus.edu.sg/handle/10635/15523
Appears in Collections:Master's Theses (Open)

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