SHORT SELLING WITH MARGIN RISK AND RECALL RISK

DOI10.1142/S0219024922500078zbMath1484.91420arXiv1903.11804OpenAlexW4205326264MaRDI QIDQ5066301

Hardy Hulley, Kristoffer J. Glover

Publication date: 29 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.11804

zbMATH Keywords

optimal stoppingfree-boundary problemshort sellinglimits to arbitragerecall riskmargin risk

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Portfolio theory (91G10)

Related Items (1)

Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information

Cites Work

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• OPTIMAL TIMING FOR SHORT COVERING OF AN ILLIQUID SECURITY
• Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty

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