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OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY

36 citations0/0 files storedMathematical Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Analysis and Corporate Governance

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.

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2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1998Methods of Mathematical Finance 1998Methods of Mathematical Finance 1994Option pricing: Mathematical models and computation 2002Quadratic Convergence for Valuing American Options Using a Penalty Method 1996Pricing and Hedging American Options: A Recursive Integration Method 2000Game options

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