Optimal redeeming strategy of stock loans under drift uncertainty


We consider the optimal redeeming problem of stock loans under incomplete information presented by the uncertainty  trend of underlying stock. Due to the unavoidable estimating of the trend when making decisions, the HJB... [ view full abstract ]


  1. Zuo Quan Xu (The Hong Kong Polytechnic University)
  2. Fahuai Yi (Guangdong University of Foreign Studies)

Topic Areas

Optimal Execution , Optimal Stopping


FR-A-SW » Information Models (10:00 - Friday, 20th July, Swift)

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