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

DOI10.1017/S0956792517000262zbMath1401.91537OpenAlexW2757851974MaRDI QIDQ4575290

Guiyuan Ma, Song-Ping Zhu

Publication date: 13 July 2018

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0956792517000262

zbMATH Keywords

option pricingearly exercisehard-to-borrow stocklending fees

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items

Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models, Pricing European options under stochastic looping contagion risk model, Pricing European call options under a hard-to-borrow stock 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

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