STOCK LOANS

Authors: Xia, Jianming¹; Zhou, Xun Yu²

Source: Mathematical Finance, Volume 17, Number 2, April 2007 , pp. 307-317(11)

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Abstract:

This paper introduces a mathematical model for a currently popular financial product called a stock loan. Quantitative analysis is carried out to establish explicitly the value of such a loan, as well as the ranges of fair values of the loan size and interest, and the fee for providing such a service.

Keywords: stock loan; Black-Scholes model; call option; stopping time

Document Type: Research article

DOI: http://dx.doi.org/10.1111/j.1467-9965.2006.00305.x

Affiliations: 1: Center for Financial Engineering and Risk Management, Academy of Mathematics and Systems Science, Chinese Academy of Sciences 2: Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong

Publication date: 2007-04-01