Variational inequality method in stock loans
Pricing of Securities
2010-05-11 v1 Optimization and Control
Probability
Computational Finance
Abstract
In this paper we first introduce two new financial products: stock loan and capped stock loan. Then we develop a pure variational inequality method to establish explicitly the values of these stock loans. Finally, we work out ranges of fair values of parameters associated with the loans.
Cite
@article{arxiv.1005.1358,
title = {Variational inequality method in stock loans},
author = {Zongxia Liang and Weiming Wu},
journal= {arXiv preprint arXiv:1005.1358},
year = {2010}
}
Comments
14 pages, 2 figures