Stock loans with liquidation
Pricing of Securities
2016-12-23 v2
Authors:
Parsiad Azimzadeh
Abstract
We derive a "semi-analytic" solution for a stock loan in which the lender forces liquidation when the loan-to-collateral ratio drops beneath a certain threshold. We use this to study the sensitivity of the contract to model parameters.
Cite
@article{arxiv.1602.00619,
title = {Stock loans with liquidation},
author = {Parsiad Azimzadeh},
journal= {arXiv preprint arXiv:1602.00619},
year = {2016}
}
Comments
10 pages, 2 figures, 2 tables
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