An Integral Equation Approach for the Valuation of Finite-maturity margin-call Stock Loans

Minh-Quan Nguyen, Nhat-Tan Le, Khuong Nguyen-An +1

This paper examines the pricing issue of margin-call stock loans with finite maturities under the Black-Scholes-Merton framework. In particular, using a Fourier Sine transform meth…