Work

Stock loans with liquidation

Year: 2016

Type: preprint

Abstract: We derive a "semi-analytic" solution for a stock loan in which the lender forces liquidation when the loan-to-collateral ratio drops beneath a certain threshold. We use this to study the sensitivity of the contract to model parameters.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1602.00619

Author: Azimzadeh, Parsiad

Institution: University of Waterloo

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: University of Waterloo

OpenAlex ID: W2265609425

Cites: 3

Cited by:

Related to: 20