Finite maturity margin call stock loans

Lu, Xiaoping; Putri, Endah R. M.

doi:10.1016/j.orl.2015.10.007

Cited by 13 publications

(6 citation statements)

References 17 publications

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“…It is also worth pointing out that the dimensional optimal exit price S fi is not monotonic with respect to time (Figure 2). This is is due to the two competing factors: the time-dependent "strike" (qe γt , t ∈ [0, T]) and the "call" nature of the loan near expiry as discussed in [13]. Since the dimensional optimal exit price increases with time, the longer the loan contract, the higher the optimal exit price near maturity.…”

Section: Optimal Exit Pricesmentioning

confidence: 99%

Finite Maturity American-Style Stock Loans With Regime-Switching Volatility

Putri

2021

ANZIAM J.

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We study finite maturity American-style stock loans under a two-state regime-switching economy. We present a thorough semi-analytic discussion of the optimal redeeming prices, the values and the fair service fees of the stock loans, under the assumption that the volatility of the underlying is in a state of uncertainty. Numerical experiments are carried out to show the effects of the volatility regimes and other loan parameters.

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Section: Optimal Exit Pricesmentioning

confidence: 99%

Finite Maturity American-Style Stock Loans With Regime-Switching Volatility

Putri

2021

ANZIAM J.

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“…Following this publication, more and more researchers paid attentions to the academical topic of stock loan valuation with other conditions. For instance, Lu and Putri [2] considered the pricing problem of stock loan with nite maturity margin. Under the framework of hyper-exponential jump di usion model, Cai and Sun [3] studied the value and optimal redemption price of stock loan with in nite and nite maturity.…”

Section: Introductionmentioning

confidence: 99%

“…Parameter is particularly useful in characterizing the ne structure of the stochastic process. e CGMY process has in nite variation and nite quadratic variation if ∈ (1,2). At present, many papers discussed pricing problem of nancial derivatives based on the CGMY process.…”

Section: Introductionmentioning

confidence: 99%

Pricing Stock Loans with the CGMY Model

Fan

Zhou

2019

Discrete Dynamics in Nature and Society

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The empirical research shows that the log-return of stock price in finance market rejects the normal distribution and admits a subclass of the asymmetric distribution. Hence, the pricing problem of stock loan is investigated under the assumption that the log-return of stock price follows the CGMY process in this work. Under this framework, the pricing model of stock loan can be described by a free boundary condition problem of space-fractional partial differential equation (FPDE). First of all, in order to change the original model defined in a fixed domain, a penalty term is introduced, and then a first order fully implicit difference schemes is developed. Secondly, based on the numerical scheme, we prove the stock loan value generated by our method does not fall below the value obtained when the contract of stock loan is exercised early. Finally, the numerical experiments are implemented and the impacts of key parameters in the CGMY model on the value and optimal redemption price of stock loan are analyzed, and some reasonable explanation should be given.

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“…A simple framework for Laplace transform methods is introduced by Zhu [8] for pricing American options under GBM models. This framework is later developed for evaluation of finite-lived Russian options by Kimura [9], pricing American options under CEV models by Wong and Zhao [10] and by Pun and Wong [11], pricing American options under hyperexponential jump-diffusion model by Leippold and Vasiljević [12], pricing stock loan (essentially an American option with time-dependent strike) by Lu and Putri [13], and pricing American options with regime switching by Ma et al [14]. But this framework suffers from a drawback that numerical Laplace inversion such as Gaver-Stehfest (GS) and Gaver-Wynn-Rho (GWR) algorithm are not stable.…”

Section: Introductionmentioning

confidence: 99%

“…1 = 1 ; 11: end if 12: % Finite difference approximation (7). 13: > 0, < ∞ and V ∞ ( ) = V( , ∞) satisfy the following ODE (similar to perpetual American option):…”

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confidence: 99%

Laplace Transform Method for Pricing American CEV Strangles Option with Two Free Boundaries

Zhou

2018

Discrete Dynamics in Nature and Society

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Laplace transform method (LTM) has a lot of applications in the evaluation of European-style options and exotic options without early exercise features. However the Laplace transform methods for pricing American options have unsatisfactory accuracy and suffer from the instability. The aim of this paper is to develop a Laplace transform method for pricing American Strangles options with the underlying asset price following the constant elasticity volatility (CEV) models. By approximating the free boundaries, the Laplace transform is taken on a fixed space region to replace the moving boundaries space. After solving the linear system in Laplace space, Gaver-Stehfest formula (GSF) and hyperbola contour integral method (HCIM) are applied to compute the Laplace inversion. Numerical results show that the LTM-HCIM outperform the LTM-GSF in regard to the accuracy and stability for the option values.

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Finite maturity margin call stock loans

Cited by 13 publications

References 17 publications

Finite Maturity American-Style Stock Loans With Regime-Switching Volatility

Finite Maturity American-Style Stock Loans With Regime-Switching Volatility

Pricing Stock Loans with the CGMY Model

Laplace Transform Method for Pricing American CEV Strangles Option with Two Free Boundaries

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