附有自动终止条款、上限及保证金的股票贷款

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摘要翻译：
本文提出了考虑自动终止条款、上限和保证金的股票贷款公允价值模型。这种股票贷款被视为一种广义的永久美式期权，可能有负利率和一些约束。由于它有助于银行控制风险，银行收取较少的服务费相比，股票贷款没有任何限制。自动终止条款、上限和保证金实际上是银行设定的停止令。从数学上讲，它是金融产品定价中出现的一类最优停止问题。我们的目标是明确确定此类贷款的价值和关键参数的公允价值范围：贷款规模、利率、上限、保证金和提供此类服务的费用以及自动终止条款的数量，以及这些参数之间的关系以及最佳行使时间。我们给出了数值结果，并对模型参数及其对股票贷款价值的影响进行了分析。
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英文标题：
《Stock loan with Automatic termination clause, cap and margin》
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作者：
Shuqing Jiang, Zongxia Liang and Weiming Wu
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  This paper works out fair values of stock loan model with automatic termination clause, cap and margin. This stock loan is treated as a generalized perpetual American option with possibly negative interest rate and some constraints. Since it helps a bank to control the risk, the banks charge less service fees compared to stock loans without any constraints. The automatic termination clause, cap and margin are in fact a stop order set by the bank. Mathematically, it is a kind of optimal stopping problems arising from the pricing of financial products which is first revealed. We aim at establishing explicitly the value of such a loan and ranges of fair values of key parameters : this loan size, interest rate, cap, margin and fee for providing such a service and quantity of this automatic termination clause and relationships among these parameters as well as the optimal exercise times. We present numerical results and make analysis about the model parameters and how they impact on value of stock loan.
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PDF链接：
https://arxiv.org/pdf/1005.1357

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关键词：保证金 终止 fair model 条款 自动