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q-fin.PR2010★ 1 cited
Variational inequality method in stock loans
Zongxia Liang, Weiming Wu
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 valu…
q-fin.PR2010
Stock loan with Automatic termination clause, cap and margin
Shuqing Jiang, Zongxia Liang, Weiming Wu
This paper works out fair values of stock loan model with automatic termination clause, cap and margin. This stock loan is treated as a generalized perpetual American option with p…