Valuation of stock loans with jump risk
From MaRDI portal
Publication:1994400
Recommendations
Cites work
- A jump-diffusion model for option pricing
- A lattice algorithm for pricing moving average barrier options
- First passage times of a jump diffusion process
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- On first passage times of a hyper-exponential jump diffusion process
- Optimal multiple stopping models of reload options and shout options
- Optimal redeeming strategy of stock loans with finite maturity
- Option pricing when underlying stock returns are discontinuous
- Pricing and hedging American-style options: a simple simulation-based approach
- Robust numerical methods for contingent claims under jump diffusion processes
- STOCK LOANS
- The generalized perpetual American exchange-option problem
- Valuation of stock loans with regime switching
Cited in
(36)- Real options approach for fashionable and perishable products using stock loan with regime switching
- An exactly solvable multiple stochastic optimal stopping problem
- Stock loan valuation based on the finite moment log-stable process
- Finite maturity margin call stock loans
- Valuation of stock loan under uncertain environment
- Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
- Semi-analytic valuation of stock loans with finite maturity
- Valuation of non-recourse stock loan using an integral equation approach
- CTMC integral equation method for American options under stochastic local volatility models
- Pricing stock loans with the CGMY model
- Valuation of stock loans under a Markov chain model
- Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
- An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
- Optimal redeeming strategy of stock loans with finite maturity
- Stock loans in incomplete markets
- Regime classification and stock loan valuation
- Valuation of stock loans with regime switching
- Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
- Valuation of stock loan under uncertain mean-reverting stock model
- Laplace bounds approximation for American options
- Pricing finite-maturity American capped stock loan
- Short selling with margin risk and recall risk
- JDOI variance reduction method and the pricing of American-style options
- Optimal redeeming strategy of stock loans under drift uncertainty
- Finite maturity American-style stock loans with regime-switching volatility
- A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications
- Valuation of the stock loans with counterparty risk
- STOCK LOANS
- scientific article; zbMATH DE number 5252487 (Why is no real title available?)
- Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
- Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
- Stabilization of a stock-loan valuation PDE process using differential flatness theory
- Discounted densities of overshoot and undershoot for Lévy processes with applications in finance
- Pricing of margin call stock loan based on the FMLS
- Valuation of stock loan under uncertain stock model with floating interest rate
- Valuation of stock loans using exponential phase-type Lévy models
This page was built for publication: Valuation of stock loans with jump risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1994400)
