VALUATION OF STOCK LOANS WITH REGIME SWITCHING
This paper is concerned with stock loan valuation in which the underlying stock price is dictated by geometric Brownian motion with regime switchi ng. The stock loan pricing is quite different from that for standard American options because the associated variational inequalities may have infinitely...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2009
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