Stock loans with liquidation

Parsiad Azimzadeh

Papers from arXiv.org

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.

Date: 2016-02, Revised 2016-12
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1602.00619

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