STOCK LOAN VALUATION UNDER A REGIME-SWITCHING MODEL WITH MEAN-REVERTING AND FINITE MATURITY

作     者：David PRAGER David PRAGER· Qing ZHANG Department of Mathematics,University of Georgia,Athens,GA 30602,USA.

作者机构：Department of MathematicsUniversity of Georgia 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2010年第23卷第3期

页      面：572-583页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

主　　题：Mean reversion regime switching stock loan. 

摘      要：Stock loans are business contracts between borrowers and lenders in which the borroweruses shares of stock as collateral for the *** the value of the collateral is subject to wide andfrequent price swings,valuing such a transaction behaves more like an option pricing problem thana debt valuation *** paper will list,prove,and analyze formulas for stock loan valuationwith finite horizon under various stock models,including classical geometric Brownian motion,meanreverting,and two-state regime-switching with both mean-reverting and geometric Brownian *** examples are reported to illustrate the results.