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Stock repurchase and stock price crash risk
H Jia, Y Zhu, X Chen - Finance Research Letters, 2024 - Elsevier
This paper selects the data of A-share listed companies in 2021–2021 to investigate the
impact of stock repurchase on stock price crash risk. It is found that the implementation of …
impact of stock repurchase on stock price crash risk. It is found that the implementation of …
[PDF][PDF] The paradox of adversarial liquidation in decentralised lending
We present a holistic framework for risk and reward management for decentralised lending
protocols, such as AAVE or Compound. This framework highlights tensions and trade-offs in …
protocols, such as AAVE or Compound. This framework highlights tensions and trade-offs in …
Pricing and hedging of decentralised lending contracts
L Szpruch, MS Vidales, T Treetanthiploet… - arxiv preprint arxiv …, 2024 - arxiv.org
We study the loan contracts offered by decentralised loan protocols (DLPs) through the lens
of financial derivatives. DLPs, which effectively are clearinghouses, facilitate transactions …
of financial derivatives. DLPs, which effectively are clearinghouses, facilitate transactions …
Leveraged trading via lending platforms
Decentralised lending protocols enable users to enter a leveraged long or short trading
position, which provides one of the economic rationales for over-collateralised loans. The …
position, which provides one of the economic rationales for over-collateralised loans. The …
An Integral Equation Approach for the Valuation of Finite-maturity margin-call Stock Loans
MQ Nguyen, NT Le, K Nguyen-An, DT Luu - arxiv preprint arxiv …, 2024 - arxiv.org
This paper examines the pricing issue of margin-call stock loans with finite maturities under
the Black-Scholes-Merton framework. In particular, using a Fourier Sine transform method …
the Black-Scholes-Merton framework. In particular, using a Fourier Sine transform method …
An Integral Equation Approach for the Valuation of Finite-maturity margin-call Stock Loans
DT Luu, MQ Nguyen, NT Le… - Available at SSRN …, 2024 - papers.ssrn.com
This paper examines the pricing issue of margin-call stock loans with finite maturities under
the Black-Scholes-Merton framework. In particular, using a Fourier Sine transform method …
the Black-Scholes-Merton framework. In particular, using a Fourier Sine transform method …