Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
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Publication:439269
DOI10.1016/j.jmaa.2012.04.067zbMath1244.91098OpenAlexW2023101351MaRDI QIDQ439269
Publication date: 1 August 2012
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.04.067
Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (10)
Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem ⋮ Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps ⋮ Real options approach for fashionable and perishable products using stock loan with regime switching ⋮ CEV asymptotics of American options ⋮ Valuation of non-recourse stock loan using an integral equation approach ⋮ FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY ⋮ Stock loan valuation under a stochastic interest rate model ⋮ Valuation of stock loan under uncertain environment ⋮ Pricing of margin call stock loan based on the FMLS ⋮ Valuation of stock loan under uncertain stock model with floating interest rate
Cites Work
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
- Lookback options and dynamic fund protection under multiscale stochastic volatility
- Matching asymptotics in path-dependent option pricing
- Convexity of the optimal stopping boundary for the American put option
- OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY
- Valuation of Stock Loans with Regime Switching
- Turbo warrants under stochastic volatility
- Singular Perturbations in Option Pricing
- Geometric Asian options: valuation and calibration with stochastic volatility
- Pricing Asian options with stochastic volatility
- Multiscale Stochastic Volatility Asymptotics
- Stochastic Volatility Corrections for Interest Rate Derivatives
- Singular Perturbations for Boundary Value Problems Arising from Exotic Options
- STOCK LOANS
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
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