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Finite maturity margin call stock loans

Journal Article


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Abstract


  • In this paper, we formulate margin call stock loans in finite maturity as American down-and-out calls with rebate and time-dependent strike. The option problem is solved semi-analytically based on the approach in Zhu (2006). An explicit equation for optimal exit price and a pricing formula for loan value are obtained in Laplace space. Final results are obtained by numerical inversion. Examples are provided to show the dependency of the optimal exit price and margin call stock loan value on various parameters.

Authors


Publication Date


  • 2016

Citation


  • Lu, X. & Putri, E. R M. (2016). Finite maturity margin call stock loans. Operations Research Letters, 44 (1), 12-18.

Scopus Eid


  • 2-s2.0-84948412703

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=6478&context=eispapers

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/5450

Has Global Citation Frequency


Number Of Pages


  • 6

Start Page


  • 12

End Page


  • 18

Volume


  • 44

Issue


  • 1

Place Of Publication


  • Netherlands

Abstract


  • In this paper, we formulate margin call stock loans in finite maturity as American down-and-out calls with rebate and time-dependent strike. The option problem is solved semi-analytically based on the approach in Zhu (2006). An explicit equation for optimal exit price and a pricing formula for loan value are obtained in Laplace space. Final results are obtained by numerical inversion. Examples are provided to show the dependency of the optimal exit price and margin call stock loan value on various parameters.

Authors


Publication Date


  • 2016

Citation


  • Lu, X. & Putri, E. R M. (2016). Finite maturity margin call stock loans. Operations Research Letters, 44 (1), 12-18.

Scopus Eid


  • 2-s2.0-84948412703

Ro Full-text Url


  • http://ro.uow.edu.au/cgi/viewcontent.cgi?article=6478&context=eispapers

Ro Metadata Url


  • http://ro.uow.edu.au/eispapers/5450

Has Global Citation Frequency


Number Of Pages


  • 6

Start Page


  • 12

End Page


  • 18

Volume


  • 44

Issue


  • 1

Place Of Publication


  • Netherlands