有限期限追加保证金股票贷款估值的积分方程法

Minh-Quan Nguyen, Nhat-Tan Le, Khuong Nguyen-An, Duc-Thi Luu
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引用次数: 0

摘要

本文在布莱克-斯科尔斯-默顿(Black-Scholes-Merton)框架下研究了有限期限保证金赎回股票贷款的定价问题。具体而言,我们利用傅里叶正弦变换方法,将管理保证金赎回股票贷款价格的偏微分方程还原为常微分方程,其解可以很容易地找到(在傅里叶正弦空间),并通过分析反转到原始空间。因此,我们可以用未知的最优退出价格对股票贷款的价值进行积分表示,而最优退出价格又受 Volterra 积分方程的支配。因此,我们可以将追加保证金股票贷款的定价问题分成两步:1) 通过对 Volterra 积分方程进行数值求解,找到最优退出价格;2) 根据获得的最优退出价格计算保证金赎回股票贷款的价值。通过验证并与其他可用的数值方法进行比较,我们发现我们提出的数值方案提供了一种可靠而有效的方法来计算保证金赎回股票贷款合同的服务费、跟踪合同的长期价值,并计算出超过合同最优退出价格的股票价格水平。此外,还研究并量化了追加保证金功能对贷款合同的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
An Integral Equation Approach for the Valuation of Finite-maturity margin-call Stock Loans
This paper examines the pricing issue of margin-call stock loans with finite maturities under the Black-Scholes-Merton framework. In particular, using a Fourier Sine transform method, we reduce the partial differential equation governing the price of a margin-call stock loan into an ordinary differential equation, the solution of which can be easily found (in the Fourier Sine space) and analytically inverted into the original space. As a result, we obtain an integral representation of the value of the stock loan in terms of the unknown optimal exit prices, which are, in turn, governed by a Volterra integral equation. We thus can break the pricing problem of margin-call stock loans into two steps: 1) finding the optimal exit prices by solving numerically the governing Volterra integral equation and 2) calculating the values of margin-call stock loans based on the obtained optimal exit prices. By validating and comparing with other available numerical methods, we show that our proposed numerical scheme offers a reliable and efficient way to calculate the service fee of a margin-call stock loan contract, track the contract value over time, and compute the level of stock price above which it is optimal to exit the contract. The effects of the margin-call feature on the loan contract are also examined and quantified.
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