Stock loan valuation based on the finite moment log-stable process

DOI10.1016/j.camwa.2017.09.015zbMath1409.91275OpenAlexW2759991543MaRDI QIDQ1732317

Kaili Xiang, Congyin Fan, Shanzhen Chen

Publication date: 25 March 2019

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.09.015

zbMATH Keywords

free boundarypenalty termfractional partial differential equationstock loanFMLS

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11)

Related Items (1)

Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process

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