Work

Variational inequality method in stock loans

Year: 2010

Type: preprint

Abstract: In this paper we first introduce two new financial products: stock loan and capped stock loan. Then we develop a pure variational inequality method to establish explicitly the values of these stock loans. Finally, we work out ranges of fair values of parameters associated with the loans.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1005.1358

Authors: Liang, Zongxia, Wu, Weiming

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1688512763

Cites: 4

Cited by: 1

Related to: 20