Finite maturity American-style stock loans with regime-switching volatility
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DOI: 10.21914/anziamj.v63.15435
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… read more here.
Keywords: stock loans; maturity american; stock; american style ... See more keywords