Valuation of Stock Loan with Stochastic Interest Rate

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：wulb

【摘要】

：

　　Stock loans are loans collateralized by stocks.They are modern financial products designed for investors with large equity positions.This study focuses on s

【作者】

：

Zhu Song-Ping Xu Liangbin Chen Wenting

【机构】

：

Univ.of Wollongong,Jilin Univ.

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　Stock loans are loans collateralized by stocks.They are modern financial products designed for investors with large equity positions.This study focuses on stock loan valuations under a stochastic interest rate framework.

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Valuation of Stock Loan with Stochastic Interest Rate

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