Finite maturity margin call stock loans

DOI10.1016/J.ORL.2015.10.007zbMath1408.91221OpenAlexW2180387210MaRDI QIDQ1785456

Xiaoping Lu, Endah R. M. Putri

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=6478&context=eispapers

zbMATH Keywords

Laplace transform methodAmerican down-and-out call with rebatemargin call stock loan

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Valuation of non-recourse stock loan using an integral equation approach ⋮ Laplace transform method for pricing American CEV strangles option with two free boundaries ⋮ Stock loan valuation based on the finite moment log-stable process ⋮ FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY ⋮ Pricing stock loans with the CGMY model ⋮ Pricing of margin call stock loan based on the FMLS

Cites Work

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• Mathematical models of financial derivatives
• PDE methods for pricing barrier options
• The valuation of American barrier options using the decomposition technique
• A barrier option of American type
• Semi-analytic valuation of stock loans with finite maturity
• COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
• A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
• An explicit finite difference approach to the pricing of barrier options

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