Stock Loans

11 Pages Posted: 19 Mar 2007

See all articles by Jianming Xia

Jianming Xia

Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences

Xun Yu Zhou

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management

Abstract

This 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.

Suggested Citation

Xia, Jianming and Zhou, Xun Yu, Stock Loans. Mathematical Finance, Vol. 17, No. 2, pp. 307-317, April 2007, Available at SSRN: https://ssrn.com/abstract=974940 or http://dx.doi.org/10.1111/j.1467-9965.2006.00305.x

Jianming Xia (Contact Author)

Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences ( email )

Zhong-Guan-Cun-Dong-Lu 55, Haidian District
Beijing 100190
China

Xun Yu Zhou

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management ( email )

Shatin, New Territories
Hong Kong
852 2609-8320 (Phone)
852 2603-5505 (Fax)

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