Valuation of stock loans with jump risk
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Publication:1994400
DOI10.1016/J.JEDC.2014.01.004zbMath1402.91757OpenAlexW1987436088MaRDI QIDQ1994400
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2014.01.004
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Cites Work
- A Jump-Diffusion Model for Option Pricing
- Optimal multiple stopping models of reload options and shout options
- A lattice algorithm for pricing moving average barrier options
- On first passage times of a hyper-exponential jump diffusion process
- OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY
- Valuation of Stock Loans with Regime Switching
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- First passage times of a jump diffusion process
- Robust numerical methods for contingent claims under jump diffusion processes
- The generalized perpetual American exchange-option problem
- Pricing and hedging American-style options: a simple simulation-based approach
- STOCK LOANS
- Option pricing when underlying stock returns are discontinuous
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