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 languageEnglish
Article number012045
JournalJournal of Physics: Conference Series
Volume974
Issue number1
DOIs
Publication statusPublished - 22 Mar 2018
Event3rd International Conference on Mathematics: Pure, Applied and Computation, ICoMPAC 2017 - Surabaya, Indonesia
Duration: 1 Nov 20171 Nov 2017

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