Pricing of margin call stock loan based on the FMLS
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Publication:779532
DOI10.1155/2020/5349345zbMATH Open1459.91207OpenAlexW3037314451MaRDI QIDQ779532FDOQ779532
Authors: Kaili Xiang, Peng Hu, Xiao Li 
Publication date: 13 July 2020
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/5349345
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- Fractional Partial Differential Equations and Their Numerical Solutions
- Derivative securities and difference methods.
- Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
- STOCK LOANS
- Stock loan with automatic termination clause, cap and margin
- Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
- A predictor-corrector approach for pricing American options under the finite moment log-stable model
- Finite maturity margin call stock loans
- 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
- On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
- 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
- Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
- Investment strategies for margin loans under a Markov chain model
- Finite maturity margin call stock loans
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