Finite-maturity stock loans under the constant elasticity of variance model

Li Yan, Xiaoer Qin and Haoqi Li

Applied Economics Letters, 2019, vol. 26, issue 4, 316-320

Abstract: This article expresses the constant elasticity of variance stock loans pricing formula in terms of the noncentral chi-square distribution. By using the numerical solutions of the integral equation for the early exit boundary, we calculated the valuation of the stock loans. Numerical analysis is carried out to establish explicitly the value of such a loan, as well as the loan amount and the fee for providing such a service.

Date: 2019
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DOI: 10.1080/13504851.2018.1468548

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