Pricing stock loans under the Lèvy--stable process with jumps

DOI10.3934/NHM.2023007OpenAlexW4312287603MaRDI QIDQ6145282FDOQ6145282

Authors: Congyin Fan, Wen-Ting Chen, Bing Feng 

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

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zbMATH Keywords

jump diffusionsstock loansfractional-partial-integro-differential equationLèvy-\(\alpha\)-stable processPCGNR method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09) Fractional partial differential equations (35R11) Free boundary problems for PDEs (35R35) Numerical methods for discrete and fast Fourier transforms (65T50)

Cites Work

• A jump-diffusion model for option pricing
• A circulant preconditioner for fractional diffusion equations
• A comparison of numerical solutions of fractional diffusion models in finance
• Stability and convergence of a finite volume method for the space fractional advection-dispersion equation
• A fast semi-implicit difference method for a nonlinear two-sided space-fractional diffusion equation with variable diffusivity coefficients
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• STOCK LOANS
• Stock loan with automatic termination clause, cap and margin
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• Circulant preconditioning technique for barrier options pricing under fractional diffusion models
• Fast iterative method with a second-order implicit difference scheme for time-space fractional convection-diffusion equation
• Stock loan valuation under a stochastic interest rate model
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• A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
• Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
• A note on parallel preconditioning for the all-at-once solution of Riesz fractional diffusion equations
• Regime classification and stock loan valuation
• Option pricing under the KoBol model

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