Valuation of stock loans using exponential phase-type Lévy models

作者：

Highlights：

• Investigate stock loan pricing under phase-type Lévy models.

• Obtain closed-form solution to the value function and the optimal redemption policy.

• Discuss under what situations the stock loan is feasible to trade.

• Stock loan is less expensive and has earlier expected redemption time under Lévy models.

摘要

•Investigate stock loan pricing under phase-type Lévy models.•Obtain closed-form solution to the value function and the optimal redemption policy.•Discuss under what situations the stock loan is feasible to trade.•Stock loan is less expensive and has earlier expected redemption time under Lévy models.

论文关键词：Stock loans,Phase-type Lévy models,Optimal stopping

论文评审过程：Available online 14 August 2013.

论文官网地址：https://doi.org/10.1016/j.amc.2013.07.049