Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Variational inequalities in stock loan models
Abstract This paper develops variational inequality approach to establish optimal stopping problems arising from the pricing of stock loan and capped stock loan models. The valuations of the stock loans and ranges of reasonable values of key parameters such as loan sizes, interest rates, fees for providing such a service and quantity of this automatic termination clause and relationships among these parameters as well as the optimal terminable stopping times are explicitly derived. The paper also gives two numerical samples to portray the results and the difference between stock loan model and capped stock loan model.
Variational inequalities in stock loan models
Abstract This paper develops variational inequality approach to establish optimal stopping problems arising from the pricing of stock loan and capped stock loan models. The valuations of the stock loans and ranges of reasonable values of key parameters such as loan sizes, interest rates, fees for providing such a service and quantity of this automatic termination clause and relationships among these parameters as well as the optimal terminable stopping times are explicitly derived. The paper also gives two numerical samples to portray the results and the difference between stock loan model and capped stock loan model.
Variational inequalities in stock loan models
Liang, Zongxia (Autor:in) / Wu, Weiming (Autor:in)
Optimization and Engineering ; 13 ; 459-470
10.09.2011
12 pages
Aufsatz (Zeitschrift)
Elektronische Ressource
Englisch
Variational inequality method , Optimal stopping problems , Stock loan model , Perpetual American option , Ito’s formula , Black-Scholes model Mathematics , Optimization , Engineering, general , Systems Theory, Control , Environmental Management , Operation Research/Decision Theory , Financial Engineering
Variational inequalities in stock loan models
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