Variational inequality method in stock loans

Zongxia Liang and Weiming Wu

Papers from arXiv.org

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.

Date: 2010-05
New Economics Papers: this item is included in nep-ban
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1005.1358

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