STOCK LOAN VALUATION UNDER A REGIME-SWITCHING MODEL WITH MEAN-REVERTING AND FINITE MATURITY  

作　　者：David PRAGER 

机构地区：[1]Department of Mathematics,University of Georgia

出　　处：《Journal of Systems Science & Complexity》2010年第3期572-583,共12页系统科学与复杂性学报（英文版）

摘　　要：Stock loans are business contracts between borrowers and lenders in which the borroweruses shares of stock as collateral for the loan.Since the value of the collateral is subject to wide andfrequent price swings,valuing such a transaction behaves more like an option pricing problem thana debt valuation problem.This paper will list,prove,and analyze formulas for stock loan valuationwith finite horizon under various stock models,including classical geometric Brownian motion,meanreverting,and two-state regime-switching with both mean-reverting and geometric Brownian motionstates.Numerical examples are reported to illustrate the results.

关 键 词：Mean reversion regime switching stock loan. 

分 类 号：F830.5[经济管理—金融学] O211.6[理学—概率论与数理统计]