Finite maturity American-style stock loans with regime-switching volatility

DOI10.1017/S1446181121000250zbMATH Open1471.91579OpenAlexW4235882727MaRDI QIDQ5158751FDOQ5158751

Xiaoping Lu, Endah R. M. Putri

Publication date: 26 October 2021

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181121000250

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zbMATH Keywords

regime-switchingvolatilitystock loanssemi-analytic methodPDE approach

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Pricing exotic options under regime switching
• AMERICAN OPTIONS WITH REGIME SWITCHING
• The Mathematics of Financial Derivatives
• A new exact solution for pricing European options in a two-state regime-switching economy
• Stochastic integral
• Option pricing in a regime-switching model using the fast Fourier transform
• Title not available (Why is that?)
• Semi-analytic valuation of stock loans with finite maturity
• Methods for Pricing American Options under Regime Switching
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Title not available (Why is that?)
• Explicit solutions to European options in a regime-switching economy
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• STOCK LOANS
• A numerical analysis of American options with regime switching
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• Option pricing with regime switching by trinomial tree method
• Finite maturity margin call stock loans
• A front-fixing finite element method for the valuation of American options with regime switching
• American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
• A semi-analytic valuation of American options under a two-state regime-switching economy

Cited In (1)

• Stock loan with automatic termination clause, cap and margin

Uses Software

• Algorithm 368

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