FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY

DOI10.1017/S1446181121000250zbMath1471.91579OpenAlexW4235882727MaRDI QIDQ5158751

Xiaoping Lu, Endah R. M. Putri

Publication date: 26 October 2021

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181121000250

zbMATH Keywords

semi-analytic methodvolatilityregime-switchingstock loansPDE approach

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Uses Software

• Algorithm 368

Cites Work

• A new exact solution for pricing European options in a two-state regime-switching economy
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• A numerical analysis of American options with regime switching
• Explicit solutions to European options in a regime-switching economy
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• Pricing exotic options under regime switching
• Finite maturity margin call stock loans
• A semi-analytic valuation of American options under a two-state regime-switching economy
• Semi-analytic valuation of stock loans with finite maturity
• Option pricing with regime switching by trinomial tree method
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Methods for Pricing American Options under Regime Switching
• American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• The Mathematics of Financial Derivatives
• A front-fixing finite element method for the valuation of American options with regime switching
• STOCK LOANS
• Stochastic integral
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