Pricing American call options under a hard-to-borrow stock model

DOI10.1017/S0956792517000262MaRDI QIDQ4575290zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingearly exercisehard-to-borrow stocklending fees

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cites work

• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Asset Market Equilibrium with Short-Selling
• COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• Efficient numerical methods for pricing American options under stochastic volatility
• Lagrange multiplier approach with optimized finite difference stencils for pricing American options under stochastic volatility
• Multigrid for American option pricing with stochastic volatility
• Parabolic variational inequalities: the Lagrange multiplier approach
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Penalty methods for American options with stochastic volatility
• The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
• The Mathematics of Financial Derivatives
• The Primal-Dual Active Set Strategy as a Semismooth Newton Method
• The pricing of options and corporate liabilities

Cited in

(7)

• scientific article; zbMATH DE number 6613079 (Why is no real title available?)
• 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

Describes a project that uses

Uses Software

• Matlab

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