Pricing American call options under a hard-to-borrow stock model
DOI10.1017/S0956792517000262zbMATH Open1401.91537OpenAlexW2757851974MaRDI QIDQ4575290FDOQ4575290
Authors: Guiyuan Ma, Song-Ping Zhu 
Publication date: 13 July 2018
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0956792517000262
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Cites Work
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- Efficient numerical methods for pricing American options under stochastic volatility
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- The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
- Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
- Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
Cited In (7)
- Title not available (Why is that?)
- Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
- Pricing European call options under a hard-to-borrow stock model
- Pricing European options under stochastic looping contagion risk model
- Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
- Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy
Uses Software
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