2010/05/09 by Zongxia Liang, Wei Wu, Liang, Zongxia +2
Computer Science · Economics, Econometrics and Finance · Mathematics · #91B24 #91B28. #91B70 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Nonlinear Partial Differential Equations #Optimization and Control (math.OC) #Optimization and Variational Analysis #Pricing of Securities (q-fin.PR) #Primary 91B02 #Probability (math.PR) #Secondary 60H10 #Stochastic processes and financial applications #math.OC #math.PR #msc:60H10 #msc:91B02 #msc:91B24 #msc:91B28. #msc:91B70 #q-fin.CP #q-fin.PR
paper · pdf · doi:10.48550/arxiv.1005.1358
14 pages, 2 figures
arxiv created 2010/05/09 · openalex publication_date 2010/05/09 · arxiv updated 2010/05/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper we first introduce two new financial products: stock loan and capped stock loan. Then we develop a pure variational inequality method to establish explicitly the values of these stock loans. Finally, we work out ranges of fair values of parameters associated with the loans.