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Background: We investigated the determination of the pledged loan-to-value ratio in an optionpricing environment and mainly articulated the theoretical framework and analytical method. Methods: The basic idea is that the present value of the pledged loan payoff is equal to a put option's...
Persistent link: https://www.econbiz.de/10011808203
Purpose – The purpose of this paper is to investigate how to determine optimal investing stopping time in a stochastic environment, such as with stochastic returns, stochastic interest rate and stochastic expected growth rate. Design/methodology/approach – Transformation method was used for...
Persistent link: https://www.econbiz.de/10010688411
This paper demonstrates how to convert a path-dependent optimal stopping time problem into a path-independent problem using a transformation analysis method. We test this method to deal with several problems, especially those in stochastic volatility environments. We introduce stochastic state...
Persistent link: https://www.econbiz.de/10010933309
Background: We investigated the determination of the pledged loan-to-value ratio in an optionpricing environment and mainly articulated the theoretical framework and analytical method. Methods: The basic idea is that the present value of the pledged loan payoff is equal to a put option’s...
Persistent link: https://www.econbiz.de/10011541978
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Persistent link: https://www.econbiz.de/10011580980
Persistent link: https://www.econbiz.de/10011845332
This research develops a two-country partial equilibrium trade model to test the market power of Chinese soybean importers and U.S. soybean exporters in the soybean trade between the two countries. Results show that Chinese soybean importers have stronger market power than U.S. soybean exporters.
Persistent link: https://www.econbiz.de/10005526008