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Stock loans with liquidation

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  • Parsiad Azimzadeh

Abstract

We derive a "semi-analytic" solution for a stock loan in which the lender forces liquidation when the loan-to-collateral ratio drops beneath a certain threshold. We use this to study the sensitivity of the contract to model parameters.

Suggested Citation

  • Parsiad Azimzadeh, 2016. "Stock loans with liquidation," Papers 1602.00619, arXiv.org, revised Dec 2016.
    • Handle: RePEc:arx:papers:1602.00619
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    References listed on IDEAS

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    1. Jianming Xia & Xun Yu Zhou, 2007. "Stock Loans," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 307-317, April.
    2. Cai, Ning & Sun, Lihua, 2014. "Valuation of stock loans with jump risk," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 213-241.
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