Finite maturity margin call stock loans

Xiaoping Lu*, Endah R.M. Putri

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)


In this paper, we formulate margin call stock loans in finite maturity as American down-and-out calls with rebate and time-dependent strike. The option problem is solved semi-analytically based on the approach in Zhu (2006). An explicit equation for optimal exit price and a pricing formula for loan value are obtained in Laplace space. Final results are obtained by numerical inversion. Examples are provided to show the dependency of the optimal exit price and margin call stock loan value on various parameters.

Original languageEnglish
Pages (from-to)12-18
Number of pages7
JournalOperations Research Letters
Issue number1
Publication statusPublished - 1 Jan 2016
Externally publishedYes


  • American down-and-out call with rebate
  • Laplace transform method
  • Margin call stock loan


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