Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
DOI10.3934/nhm.2023007OpenAlexW4312287603MaRDI QIDQ6145282
Congyin Fan, Bing Feng, Wen-Ting Chen
Publication date: 2 February 2024
Published in: Networks and Heterogeneous Media (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/nhm.2023007
jump diffusionsstock loansfractional-partial-integro-differential equationLèvy-\(\alpha\)-stable processPCGNR method
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional partial differential equations (35R11) Integro-partial differential equations (35R09)
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