Optimal Redeeming Strategy of Stock Loans

Min Dai and Zuo Quan Xu

Papers from arXiv.org

Abstract: A stock loan is a loan, secured by a stock, which gives the borrower the right to redeem the stock at any time before or on the loan maturity. The way of dividends distribution has a significant effect on the pricing of the stock loan and the optimal redeeming strategy adopted by the borrower. We present the pricing models sub ject to various ways of dividend distribution. Since closed-form price formulas are generally not available, we provide a thorough analysis to examine the optimal redeeming strategy. Numerical results are presented as well.

Date: 2009-06
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Mathematical Finance, Volume21, Issue4, October 2011, Pages 775-793

Downloads: (external link)
http://arxiv.org/pdf/0906.0702 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0906.0702

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().