منابع مشابه
Syndicated loans in emerging markets
Article history: Received 5 April 2007 Received in revised form 3 March 2008 Accepted 17 April 2008 Available online 25 April 2008 There has been a considerable expansion of the volume of syndicated loans in emerging markets in the recent years. We provide the first analysis of the determinants of the decision of banks to syndicate a loan on a sample of loan facilities from 50 emerging countrie...
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In this paper, we formulate margin call stock loans in finite maturity as American down-and-out calls with rebate and time-dependent strike. The option problem is solved semi-analytically based on the approach in Zhu (2006). An explicit equation for optimal exit price and a pricing formula for loan value are obtained in Laplace space. Final results are obtained by numerical inversion. Examples ...
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A stock loan is a loan, secured by a stock, which gives the borrower the right to redeem the stock at any time before or on the loan maturity. The way of dividends distribution has a significant effect on the pricing of the stock loan and the optimal redeeming strategy adopted by the borrower. We present the pricing models subject to various ways of dividend distribution. Since closed-form pric...
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متن کاملIncomplete Markets
In reality, markets are incomplete, meaning that some payoffs cannot be replicated by trading in marketed securities. The classic no-arbitrage theory of valuation in a complete market, based on the unique price of a self-financing replicating portfolio, is not adequate for nonreplicable payoffs in incomplete markets. We focus on pricing over-the-counter derivative securities, surveying many pro...
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ژورنال
عنوان ژورنال: Applied Mathematical Finance
سال: 2013
ISSN: 1350-486X,1466-4313
DOI: 10.1080/1350486x.2012.660318