摘要
股票质押贷款定价关系金融市场风险和市场稳定,但目前关于股票质押贷款定价的研究大多是在B-S模型框架下展开,对金融市场的随机性反映有限。在KoBoL过程下,股票质押贷款模型是一个带分数偏微分方程的自由边界问题,文章利用坐标变换法和惩罚法构建了一阶全隐式模型,证明了股票质押价值不小于行权价值,通过数值模拟验证了这一结果,并分析了各参数对股票质押贷款价值和最优赎回价格的影响。
The pricing of stock collateral loan is related to financial market risks and market stability.Current studies on the pricing of stock collateral loan are mostly carried out under the framework of the B-S model,and the randomness of the financial market is limited.In the KoBoL process,the stock collateral loan model is a free boundary problem with fractional partial differential equations.The coordinate transformation method and the penalty method are used to construct a first-order fully implicit model.It is proved that the stock collateral loan value is not less than the exercise value.This result is verified by numerical simulation,and the influence of various parameters on the stock collateral loan value and the optimal redemption price is analyzed.
作者
范佩霞
谢明柱
FAN Peixia;XIE Mingzhu(School of Accounting and Finance,Anhui Xinhua University,Hefei 230088,China)
出处
《郑州航空工业管理学院学报》
2022年第2期76-83,共8页
Journal of Zhengzhou University of Aeronautics
基金
2021年度安徽省高校人文社科重点资助项目(SK2021A0774)。
关键词
股票质押贷款
定价模型
KoBoL过程
坐标变换法
惩罚函数
stock collateral loan
pricing model
KoBoL process
coordinate transformation method
penalty function
