Valuation of stock loans with jump risk

DOI10.1016/J.JEDC.2014.01.004zbMath1402.91757OpenAlexW1987436088MaRDI QIDQ1994400

Lihua Sun, Ning Cai

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2014.01.004

zbMATH Keywords

stopping timederivatives pricingjump diffusionstock loans

Mathematics Subject Classification ID

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

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Cites Work

• A Jump-Diffusion Model for Option Pricing
• Optimal multiple stopping models of reload options and shout options
• A lattice algorithm for pricing moving average barrier options
• On first passage times of a hyper-exponential jump diffusion process
• OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY
• Valuation of Stock Loans with Regime Switching
• Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
• First passage times of a jump diffusion process
• Robust numerical methods for contingent claims under jump diffusion processes
• The generalized perpetual American exchange-option problem
• Pricing and hedging American-style options: a simple simulation-based approach
• STOCK LOANS
• Option pricing when underlying stock returns are discontinuous

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