Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
DOI10.3934/nhm.2023007MaRDI QIDQ6145282
Congyin Fan, Bing Feng, Wen-Ting Chen
Publication date: 2 February 2024
Published in: Networks and Heterogeneous Media (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/nhm.2023007
jump diffusions; stock loans; fractional-partial-integro-differential equation; Lèvy-\(\alpha\)-stable process; PCGNR method
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
65T50: Numerical methods for discrete and fast Fourier transforms
35R35: Free boundary problems for PDEs
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
35R11: Fractional partial differential equations
35R09: Integro-partial differential equations
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