不完全市场中的股票贷款

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摘要翻译：
股票贷款是股东以股票作为抵押向银行或金融机构借款的合同。在Xia和Zhou（2007）中，我们将该合约建模为一个具有时变执行权的永久美式期权，并在风险中性框架下进行了详细分析。在本文中，我们将这类贷款的估值推广到不完全市场环境中，考虑了客户面临的自然交易限制。当贷款到期日为无穷大时，我们利用一个时间齐次效用最大化问题得到了银行要收取的贷款费用价值的精确公式。对于有限期限的贷款，我们使用变分不等式技术来刻画费用。在这两种情况下，我们都分析说明了费用随模型参数的变化，并用数值方法说明了结果。
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英文标题：
《Stock loans in incomplete markets》
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作者：
Matheus R. Grasselli and Cesar G. Velez
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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：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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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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英文摘要：
  A stock loan is a contract whereby a stockholder uses shares as collateral to borrow money from a bank or financial institution. In Xia and Zhou (2007), this contract is modeled as a perpetual American option with a time varying strike and analyzed in detail within a risk--neutral framework. In this paper, we extend the valuation of such loans to an incomplete market setting, which takes into account the natural trading restrictions faced by the client. When the maturity of the loan is infinite, we use a time--homogeneous utility maximization problem to obtain an exact formula for the value of the loan fee to be charged by the bank. For loans of finite maturity, we characterize the fee using variational inequality techniques. In both cases we show analytically how the fee varies with the model parameters and illustrate the results numerically.
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PDF链接：
https://arxiv.org/pdf/1010.2110

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关键词：不完全市场 具有 fee 时变 框架 并用