Pricing European call options under a hard-to-borrow stock model
This paper studies European call option pricing problem under a hard-to-borrow stock
model where stock price and buy-in rate are fully coupled. Avellaneda and Lipkin (2009) …
model where stock price and buy-in rate are fully coupled. Avellaneda and Lipkin (2009) …
Pricing European options under stochastic looping contagion risk model
T He, Y Chen - Japan Journal of Industrial and Applied Mathematics, 2024 - Springer
In this paper, we establish the pricing framework of European options in the presence of the
looping contagion risk. First, the looping contagion risk model is transformed into a …
looping contagion risk. First, the looping contagion risk model is transformed into a …
[PDF][PDF] Pricing contingent claims with short selling bans
Guo and Zhu (2017) recently proposed an equal-risk pricing approach to the valuation of
contingent claims when short selling is completely banned and two elegant pricing formulae …
contingent claims when short selling is completely banned and two elegant pricing formulae …
Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
Y Chen - Computational and Applied Mathematics, 2022 - Springer
The aim of this paper is to develop an implicit–explicit (IMEX) scheme for solving the 2-
dimensional (2-D) partial integro-differential equations with spatial delays arising in option …
dimensional (2-D) partial integro-differential equations with spatial delays arising in option …
Equity options during the shorting ban of 2008
The Securities and Exchange Commission's 2008 emergency order introduced a shorting
ban of some 800 financials traded in the US. This paper provides an empirical analysis of …
ban of some 800 financials traded in the US. This paper provides an empirical analysis of …
Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models
J Ma, Y Chen - International Journal of Computer Mathematics, 2020 - Taylor & Francis
The aim of this paper is to study the convergence rates of the finite difference methods
(FDMs) for solving the PDEs with spatial delays which arise in the option pricing under …
(FDMs) for solving the PDEs with spatial delays which arise in the option pricing under …
Valuation of general contingent claims with short selling bans: An equal-risk pricing approach
This paper studies the valuation of general contingent claims with short selling bans under
the equal-risk pricing (ERP) framework proposed in I. Guo & S.-P. Zhu (2017)[Journal of …
the equal-risk pricing (ERP) framework proposed in I. Guo & S.-P. Zhu (2017)[Journal of …
[PDF][PDF] The Term Structure of Securities Lending Fees
F Cocquemas - 2017 - gattonweb.uky.edu
Stock lending is typically an overnight agreement where short sellers pay a fee for borrowing
a security. The lending is subject to rerating and recall risk, which may prevent them from …
a security. The lending is subject to rerating and recall risk, which may prevent them from …
Change of measure under the hard-to-borrow model
P Liu - arXiv preprint arXiv:2001.10384, 2020 - arxiv.org
As the Securities and Exchange Commission (SEC) has implemented a new regulation on
short-sellings, short-sellers are required to repurchase stocks once the clearing risk rises to …
short-sellings, short-sellers are required to repurchase stocks once the clearing risk rises to …