Stock loan with Automatic termination clause, cap and margin

This paper works out fair values of stock loan model with automatic termination clause, cap and margin. This stock loan is treated as a generalized perpetual American option with possibly negative interest rate and some constraints. Since it helps a bank to control the risk, the banks charge less service fees compared to stock loans without any constraints. The automatic termination clause, cap and margin are in fact a stop order set by the bank. Mathematically, it is a kind of optimal stopping problems arising from the pricing of financial products which is first revealed. We aim at establishing explicitly the value of such a loan and ranges of fair values of key parameters : this loan size, interest rate, cap, margin and fee for providing such a service and quantity of this automatic termination clause and relationships among these parameters as well as the optimal exercise times. We present numerical results and make analysis about the model parameters and how they impact on value of stock loan.Comment: 30 pages, 7 figure

固体NMRによる多孔質高分子中のガス吸着に関する研究

京都大学新制・課程博士博士(理学)甲第24439号理博第4938号新制||理||1705(附属図書館)京都大学大学院理学研究科化学専攻(主査)准教授 武田 和行, 教授 吉村 一良, 教授 北川 宏学位規則第4条第1項該当Doctor of ScienceKyoto UniversityDGA