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Wiley InterScience | ||||||||||||||
  Mathematical FinanceVolume 17 Issue 2, Pages 307 - 317 Published Online: 20 Mar 2007 © 2010 Wiley Periodicals, Inc.
Abstract | References | Full Text: HTML, PDF (Size: 107K) | Related Articles | Citation Tracking  STOCK LOANS Jianming Xia is supported by the National Natural Science Foundation of China under grant 10571167; and Xun Yu Zhou is supported by the RGC Earmarked Grants CUHK 4175/03E and CUHK 4234/01E. Manuscript received May 2005; final revision received November 2005. Copyright 2007 The Authors. Journal compilation © 2007 Blackwell Publishing Inc. KEYWORDS stock loan • Black–Scholes model • call option • stopping time ABSTRACTThis paper introduces a mathematical model for a currently popular financial product called a stock loan. Quantitative analysis is carried out to establish explicitly the value of such a loan, as well as the ranges of fair values of the loan size and interest, and the fee for providing such a service. Received: 2005; First Revision: 2005; | 
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