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...

This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid. A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stochastic process and the sensitivity of the underlying price to market-wide...

The yield on the 10-year U.S. Treasury Note is among the most cited interest rates by investors, policymakers, and fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a proxy for uncertainty about future interest rates, is a...