Stock loans with liquidation

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.

10 pages, 2 figures, 2 tables

References in corpus (1)

• Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models