Valuation of stock loans using exponential phase-type Levy models

被引：10
|
作者：
Wong, Tat Wing [1 ]
Wong, Hoi Ying [1 ]
机构：
[1] Chinese Univ Hong Kong, Dept Stat, Shatin, Hong Kong, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2013年 / 222卷
关键词：
Stock loans; Phase-type Levy models; Optimal stopping; JUMP-DIFFUSION-MODEL; OPTIONS; AMERICAN; RETURNS;
D O I：
10.1016/j.amc.2013.07.049
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Stock loans are collateral loans with stocks used as the collateral. This paper is concerned with a stock loan valuation problem in which the underlying stock price is modeled as an exponential phase-type Levy model. The valuation problem is formulated as the optimal stopping problem of a perpetual American option with a time-varying exercise price. When a transformation is applied to the perpetual American option, it becomes a perpetual American call option in an economy with a negative interest rate, thus causing standard Wiener-Hopf techniques to fail. We solve this optimal stopping problem using a variational inequality approach. (C) 2013 Elsevier Inc. All rights reserved.
引用
收藏
页码：275 / 289
页数：15
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