Semi-analytic valuation of stock loans with finite maturity

DOI10.1016/j.cnsns.2015.03.007zbMath1457.91383OpenAlexW2032732522MaRDI QIDQ2198436

Xiaoping Lu, Endah R. M. Putri

Publication date: 10 September 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2015.03.007

zbMATH Keywords

Laplace transformsemi-analytic methodAmerican callfinite maturity stock loan

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (8)

Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps ⋮ Modified generalized sample entropy and surrogate data analysis for stock markets ⋮ Financial time series analysis using Total-CApEn and Avg-CApEn with cumulative histogram matrix ⋮ Valuation of non-recourse stock loan using an integral equation approach ⋮ FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY ⋮ Stock loan valuation under a stochastic interest rate model ⋮ Permutation entropy analysis of financial time series based on Hill's diversity number ⋮ Finite maturity margin call stock loans

Cites Work

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• Capped stock loans
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• 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
• Laplace transforms and American options
• STOCK LOANS
• An exact and explicit solution for the valuation of American put options

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