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

DOI10.1017/S1446181121000250MaRDI QIDQ5158751zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

regime-switchingvolatilitystock loanssemi-analytic methodPDE approach

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 2015362 (Why is no real title available?)
• scientific article; zbMATH DE number 5172394 (Why is no real title available?)
• A front-fixing finite element method for the valuation of American options with regime switching
• A new exact solution for pricing European options in a two-state regime-switching economy
• A numerical analysis of American options with regime switching
• A semi-analytic valuation of American options under a two-state regime-switching economy
• AMERICAN OPTIONS WITH REGIME SWITCHING
• American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Explicit solutions to European options in a regime-switching economy
• Finite maturity margin call stock loans
• Methods for pricing American options under regime switching
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• Option pricing in a regime-switching model using the fast Fourier transform
• Option pricing with regime switching by trinomial tree method
• Pricing exotic options under regime switching
• STOCK LOANS
• Semi-analytic valuation of stock loans with finite maturity
• Stochastic integral
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• The Mathematics of Financial Derivatives

Cited in

(7)

• Optimal redeeming strategy of stock loans under drift uncertainty
• Stock loan with automatic termination clause, cap and margin
• Valuation of stock loans with regime switching
• Optimal redeeming strategy of stock loans with finite maturity
• Regime classification and stock loan valuation
• Real options approach for fashionable and perishable products using stock loan with regime switching
• Stock loan valuation under a regime-switching model with mean-reverting and finite maturity

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Uses Software

• Algorithm 368

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