Stock Loan Valuation and Option Pricing
by
Xiaoping Lu
Univeristy of Wollongong
Coauthors: Endah Rokhmati Putri

Recently an interesting type of loan called stock loan has received increased attention of researchers. Stock loan is different than the traditional loan as it uses risky stocks as collateral. Due to the fluctuation of the share market, the value of the collateral in stock loans is not as predictable as that in traditional loans. Valuation of the stock loans is, therefore, like an optional pricing problem. In this work, we discuss stock loan valuation under various conditions.

Date received: January 9, 2010