Asymptotic analysis for stock loans near maturity
نویسندگان
چکیده
In this paper, we derive the asymptotic expressions of scaled value function and optimal redemption boundary stock loan with dividend-paying near maturity. Using equation satisfied by derivative at exercise boundary, set up expression for boundary. When risk-free rate r is smaller than ?, i.e., < tends to Ke?T0 in parabolic-logarithm form, case main result. For ? corresponding problem returns back a usual American call option interest-free existing results can be utilized make proper adjustments loan. The matched expansion performed small parameter. Numerical examples are provided demonstrate effectiveness proposed method.
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ژورنال
عنوان ژورنال: Filomat
سال: 2023
ISSN: ['2406-0933', '0354-5180']
DOI: https://doi.org/10.2298/fil2307105x