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We study finite maturity American-style stock loans under a two-state regime-switching economy. We present a thorough semi-analytic discussion of the optimal redeeming prices, the values and the fair service fees… Click to show full abstract
We study finite maturity American-style stock loans under a two-state regime-switching economy. We present a thorough semi-analytic discussion of the optimal redeeming prices, the values and the fair service fees of the stock loans, under the assumption that the volatility of the underlying is in a state of uncertainty. Numerical experiments are carried out to show the effects of the volatility regimes and other loan parameters. doi:10.1017/S1446181121000250
Keywords:
stock loans;
maturity american;
stock;
american style;
finite maturity;
volatility
Journal Title: ANZIAM Journal
Year Published: 2021
Link to full text (if available)
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Journal Title: ANZIAM Journal
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!