Pricing of margin call stock loan based on the FMLS

DOI10.1155/2020/5349345zbMath1459.91207OpenAlexW3037314451MaRDI QIDQ779532

Peng Hu, Kaili Xiang, Xiao Li

Publication date: 13 July 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/5349345

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• A predictor-corrector approach for pricing American options under the finite moment log-stable model
• Stock loan with automatic termination clause, cap and margin
• Finite maturity margin call stock loans
• Derivative securities and difference methods.
• Valuation of stock loans with jump risk
• On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
• Valuing equity-linked death benefits in general exponential Lévy models
• Stock Loans in Incomplete Markets
• Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
• Fractional Partial Differential Equations and Their Numerical Solutions
• STOCK LOANS

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