Pricing stock loans with the CGMY model

DOI10.1155/2019/6903019zbMath1453.91094OpenAlexW2997916966WikidataQ126469826 ScholiaQ126469826MaRDI QIDQ2296547

Chunhao Zhou, Congyin Fan

Publication date: 18 February 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/6903019

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• A fast semi-implicit difference method for a nonlinear two-sided space-fractional diffusion equation with variable diffusivity coefficients
• A comparison of numerical solutions of fractional diffusion models in finance
• Finite maturity margin call stock loans
• Valuation of stock loans with jump risk
• An explicit closed-form analytical solution for European options under the CGMY model
• Stock loan valuation under a stochastic interest rate model
• Stability and convergence of a finite volume method for the space fractional advection-dispersion equation
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
• Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
• Some mathematical results in the pricing of American options
• STOCK LOANS
• Fractional Brownian Motions, Fractional Noises and Applications

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