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

DOI10.3934/NHM.2023007MaRDI QIDQ6145282zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

fractional-partial-integro-differential equationjump diffusionsLèvy-\(\alpha\)-stable processPCGNR methodstock loans

Mathematics Subject Classification ID

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) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A circulant preconditioner for fractional diffusion equations
• A comparison of numerical solutions of fractional diffusion models in finance
• A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
• A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
• A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
• A fast semi-implicit difference method for a nonlinear two-sided space-fractional diffusion equation with variable diffusivity coefficients
• A jump-diffusion model for option pricing
• A note on parallel preconditioning for the all-at-once solution of Riesz fractional diffusion equations
• A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation
• A predictor-corrector approach for pricing American options under the finite moment log-stable model
• An explicit closed-form analytical solution for European options under the CGMY model
• Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
• Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
• Circulant preconditioning technique for barrier options pricing under fractional diffusion models
• Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
• Fast iterative method with a second-order implicit difference scheme for time-space fractional convection-diffusion equation
• Option pricing under the KoBol model
• Regime classification and stock loan valuation
• Semi-analytic valuation of stock loans with finite maturity
• Stability and convergence of a finite volume method for the space fractional advection-dispersion equation
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• Stock loan valuation under a stochastic interest rate model
• Stock loan with automatic termination clause, cap and margin
• STOCK LOANS

Cited in

(1)

• American call option pricing under the KoBoL model with Poisson jumps

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