We derive a  semi-analytic  solution for a stock loan driven by a hyper-exponential model (HEM) in which the lender is allowed to liquidate when the stock drops to a sufficiently low price. To do so, we extend a result of N. Cai et al. regarding the generalized Laplace transform of the first passage time of the HEM to two flat barriers, which is of independent interest .
We derive a " semi-analytic " solution for a stock loan in which the lender forces liquidation when the loan-to-collateral ratio drops beneath a certain threshold. We use this to study the sensitivity of the contract to model parameters .
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driven by a hyper-exponential model (HEM)
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is allowed to liquidate when the stock drops to a sufficiently low price. To do so, we extend a result of N. Cai et al. regarding the generalized Laplace transform of the first passage time of the HEM to two flat barriers, which is of independent interest
forces liquidation when the loan-to-collateral ratio drops beneath a certain threshold. We use this to study the sensitivity of the contract to model parameters