Abstract
AbstractWe study finite maturity American-style stock loans under a two-state regime-switching economy. We present a thorough semi-analytic discussion of the optimal redeeming prices, the values and the fair service fees of the stock loans, under the assumption that the volatility of the underlying is in a state of uncertainty. Numerical experiments are carried out to show the effects of the volatility regimes and other loan parameters.
Publisher
Cambridge University Press (CUP)
Subject
Mathematics (miscellaneous)
Reference28 articles.
1. Valuation of Stock Loans with Regime Switching
2. Methods for Pricing American Options under Regime Switching
3. Stochastic integral;Itô;Proc. Imp. Acad.,1944
4. [10] Liang, Z. , Nie, Y. and Zhao, L. , “Valuation of infinite maturity stock loans with geometric Lévy model in a risk-neutral framework” (2012) https://www.semanticscholar.org/paper/VALUATION-OF-INFINITE-MATURITY-STOCK-LOANS-WITH-IN-Liang-Nie/7cd27b51fc509822ec02e130bc93fc7cd86f8396.
5. A new exact solution for pricing European options in a two-state regime-switching economy