Variational inequality method in stock loans

Details Variational inequality method in stock loans Variational inequality method in stock loans

2010-05-09

arxiv.org/abs/1005.1358v1

Economy

Quantitative Finance

Pricing of Securities

14 pages, 2 figures

Scientific paper

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.

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