{"title":"具有制度转换波动性的有限期限美式股票贷款","authors":"Xiaoping Lu, E. R. Putri","doi":"10.1017/S1446181121000250","DOIUrl":null,"url":null,"abstract":"Abstract We study finite maturity American-style stock loans under a two-state regime-switching economy. We present a thorough semi-analytic discussion of the optimal redeeming prices, the values and the fair service fees of the stock loans, under the assumption that the volatility of the underlying is in a state of uncertainty. Numerical experiments are carried out to show the effects of the volatility regimes and other loan parameters.","PeriodicalId":74944,"journal":{"name":"The ANZIAM journal","volume":"18 1","pages":"163 - 177"},"PeriodicalIF":0.9000,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY\",\"authors\":\"Xiaoping Lu, E. R. Putri\",\"doi\":\"10.1017/S1446181121000250\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract We study finite maturity American-style stock loans under a two-state regime-switching economy. We present a thorough semi-analytic discussion of the optimal redeeming prices, the values and the fair service fees of the stock loans, under the assumption that the volatility of the underlying is in a state of uncertainty. Numerical experiments are carried out to show the effects of the volatility regimes and other loan parameters.\",\"PeriodicalId\":74944,\"journal\":{\"name\":\"The ANZIAM journal\",\"volume\":\"18 1\",\"pages\":\"163 - 177\"},\"PeriodicalIF\":0.9000,\"publicationDate\":\"2021-04-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The ANZIAM journal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1017/S1446181121000250\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The ANZIAM journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1017/S1446181121000250","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY
Abstract We study finite maturity American-style stock loans under a two-state regime-switching economy. We present a thorough semi-analytic discussion of the optimal redeeming prices, the values and the fair service fees of the stock loans, under the assumption that the volatility of the underlying is in a state of uncertainty. Numerical experiments are carried out to show the effects of the volatility regimes and other loan parameters.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
