交易对手风险下的股票抵押贷款的定价问题

Valuation of the Stock Loans with Counterparty Risk

给出了在交易对手风险下的欧式封顶股票抵押贷款的定价公式.交易对手风险会引起股票价格的下降,但在违约后这种股票仍然存在于市场且可以继续交易.通过违约情况下的股价的转移概率密度,采用概率方法得出股票抵押贷款的解析公式,并进一步得出了贷款金额与服务费之间的函数关系.

This paper gives analytical formulas for the European capped stock loans on underlying assets that are exposed to a counterparty risk. The counterparty risk induces a drop in the asset price, but the asset can still be traded after this default time. By the default probability density, we use the probability method obtain the analytical formulas for stock loan, and further concluded that the function relation between the loan amount and service charge.