Pricing European call options under a hard-to-borrow stock model

DOI10.1016/j.amc.2019.04.002zbMath1429.91325OpenAlexW2939256339MaRDI QIDQ2009590

Guiyuan Ma, Wen-Ting Chen, Song-Ping Zhu

Publication date: 29 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=3657&context=eispapers1

zbMATH Keywords

option pricingADI schemebuy-in ratehard-to-borrow stockregulation SHO

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models ⋮ A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes ⋮ Credit default swap pricing with counterparty risk in a reduced form model with a common jump process ⋮ Pricing European options under stochastic looping contagion risk model ⋮ VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH ⋮ Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models

Uses Software

• Matlab

Cites Work

• The Pricing of Options and Corporate Liabilities
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• The Heston Model and Its Extensions in Matlab and C#
• Dynamics of Bankrupt Stocks
• On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
• Path-Dependence of Leveraged ETF Returns
• Asset Market Equilibrium with Short-Selling
• Multigrid for American option pricing with stochastic volatility
• Pricing American call options under a hard-to-borrow stock model
• The Mathematics of Financial Derivatives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Unnamed Item
• Unnamed Item

This page was built for publication: Pricing European call options under a hard-to-borrow stock model