Binomial tree method for pricing a regime-switching volatility stock loans

Endah R.M. Putri; Muhammad S. Zamani; Daryono B. Utomo

doi:10.1088/1742-6596/974/1/012045

Binomial tree method for pricing a regime-switching volatility stock loans

Endah R.M. Putri, Muhammad S. Zamani, Daryono B. Utomo

Institut Teknologi Sepuluh Nopember

Research output: Contribution to journal › Conference article › peer-review

Abstract

Binomial model with regime switching may represents the price of stock loan which follows the stochastic process. Stock loan is one of alternative that appeal investors to get the liquidity without selling the stock. The stock loan mechanism resembles that of American call option when someone can exercise any time during the contract period. From the resembles both of mechanism, determination price of stock loan can be interpreted from the model of American call option. The simulation result shows the behavior of the price of stock loan under a regime-switching with respect to various interest rate and maturity.

Original language	English
Article number	012045
Journal	Journal of Physics: Conference Series
Volume	974
Issue number	1
DOIs	https://doi.org/10.1088/1742-6596/974/1/012045
Publication status	Published - 22 Mar 2018
Event	3rd International Conference on Mathematics: Pure, Applied and Computation, ICoMPAC 2017 - Surabaya, Indonesia Duration: 1 Nov 2017 → 1 Nov 2017

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title = "Binomial tree method for pricing a regime-switching volatility stock loans",

abstract = "Binomial model with regime switching may represents the price of stock loan which follows the stochastic process. Stock loan is one of alternative that appeal investors to get the liquidity without selling the stock. The stock loan mechanism resembles that of American call option when someone can exercise any time during the contract period. From the resembles both of mechanism, determination price of stock loan can be interpreted from the model of American call option. The simulation result shows the behavior of the price of stock loan under a regime-switching with respect to various interest rate and maturity.",

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N2 - Binomial model with regime switching may represents the price of stock loan which follows the stochastic process. Stock loan is one of alternative that appeal investors to get the liquidity without selling the stock. The stock loan mechanism resembles that of American call option when someone can exercise any time during the contract period. From the resembles both of mechanism, determination price of stock loan can be interpreted from the model of American call option. The simulation result shows the behavior of the price of stock loan under a regime-switching with respect to various interest rate and maturity.

AB - Binomial model with regime switching may represents the price of stock loan which follows the stochastic process. Stock loan is one of alternative that appeal investors to get the liquidity without selling the stock. The stock loan mechanism resembles that of American call option when someone can exercise any time during the contract period. From the resembles both of mechanism, determination price of stock loan can be interpreted from the model of American call option. The simulation result shows the behavior of the price of stock loan under a regime-switching with respect to various interest rate and maturity.

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Binomial tree method for pricing a regime-switching volatility stock loans

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