摘要
本文研究有限期的美式封顶式股票抵押贷款的定价问题.股票抵押贷款是一种用股票作为抵押品的贷款产品,它们的定价问题是一种最优停时问题.带封顶的股票抵押贷款通过设定股票价格的上限,将'上限'功能纳入股票抵押贷款中,这样贷款人就可以避免由于股价上涨而造成巨大损失.本文利用随机分析方法推导出最优执行边界函数的积分方程,从而得到有限期的美式封顶式股票抵押贷款价格的解析公式.本文还进一步研究一类随机利率模型下美式封顶式股票抵押贷款的定价问题,通过数值算例分析最优执行边界的性质.
In this paper we study the valuation of finite-maturity American capped stock loan using the stochastic approach.The stock loans are loans with stocks as collateral and their valuation is a kind of optimal stopping problems.The capped stock loan is a kind of product incorporating a'cap'feature to the stock loans by setting a limit for the stock price,in which way the lender can avoid the possible large loss due to the rise of the stock price.This paper utilizes the stochastic approach to derive an integral equation for the optimal exercise boundary function and then obtain the analytical formulas for the price of the finite-maturity American capped stock loan.A stochastic interest rate model is also studied in this paper.Numerical examples are carried out to investigate the properties of the optimal exercise boundaries.
作者
马敬堂
鄢丽
周志强
Jingtang Ma;Li Yan;Zhiqiang Zhou
出处
《中国科学:数学》
CSCD
北大核心
2019年第6期943-966,共24页
Scientia Sinica:Mathematica
基金
国家自然科学基金(批准号:11671323)
新世纪优秀人才支持项目(批准号:NCET-12-0922)资助项目
关键词
封顶式股票抵押贷款
随机利率
零息债券
积分方程
最优执行边界
capped stock loan
stochastic interest rate
zero-coupon bond
integral equation
optimal exercise boundary