The Valuation of Stock Loans under Stochastic Interest Rate
碩士 === 國立清華大學 === 計量財務金融學系 === 102 === Abstract A stock loan or securities lending is a loan which borrowers have a share of stock can use it as collateral. However, closed form solution is not available for perpetual America options, the valuation of stock loan is an optimal stopping problem re...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/39512685932824416564 |