Pricing of margin call stock loan based on the FMLS

DOI10.1155/2020/5349345MaRDI QIDQ779532zbMATH OpenOpenAlexFDO

Authors Kaili Xiang, Peng Hu, Xiao Li

Publication date 13 July 2020

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2020/5349345

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• A predictor-corrector approach for pricing American options under the finite moment log-stable model
• Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
• Derivative securities and difference methods.
• Finite maturity margin call stock loans
• Fractional Partial Differential Equations and Their Numerical Solutions
• On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
• STOCK LOANS
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• Stock loan with automatic termination clause, cap and margin
• Stock loans in incomplete markets
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
• Valuation of stock loans with jump risk
• Valuing equity-linked death benefits in general exponential Lévy models

Cited in

(5)

• Stock loan with automatic termination clause, cap and margin
• Stock loan valuation based on the finite moment log-stable process
• Investment strategies for margin loans under a Markov chain model
• Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
• Finite maturity margin call stock loans

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