Wong, Tat Wing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (p. 53-55). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Problem Formulation --- p.5 / Chapter 2.1 --- Phase-type distribution --- p.5 / Chapter 2.1.1 --- A generalization of the exponential distribution --- p.5 / Chapter 2.1.2 --- Properties of the phase-type distribution --- p.6 / Chapter 2.2 --- Phase-type jump diffusion model --- p.8 / Chapter 2.2.1 --- Jump diffusion model --- p.8 / Chapter 2.2.2 --- The stock price model --- p.9 / Chapter 2.3 --- Stock Loans --- p.10 / Chapter 3 --- General Properties of Stock Loans --- p.12 / Chapter 3.1 --- Preliminary results --- p.12 / Chapter 3.2 --- Characterization of the function V(x) --- p.15 / Chapter 4 --- Valuation / Chapter 4.1 --- Hyperexponential jumps --- p.25 / Chapter 4.1.1 --- Solution of the linear system --- p.29 / Chapter 4.1.2 --- Solution of the optimal exercise boundary --- p.30 / Chapter 4.2 --- Phase-type jumps --- p.33 / Chapter 4.3 --- The case for G'(1)≥ 0 --- p.36 / Chapter 5 --- Future Research Direction --- p.38 / Chapter 5.1 --- The fast mean-reverting stochastic volatility model --- p.38 / Chapter 5.2 --- Asymptotic expansion of stock loan --- p.39 / Chapter 5.2.1 --- The zeroth order term --- p.41 / Chapter 5.2.2 --- The first order term --- p.43 / Chapter 6 --- Conclusion --- p.52 / Bibliography --- p.53