An Integral Equation Approach for the Valuation of Finite-maturity margin-call Stock Loans
Fuente:
arXiv
Saved in:
| Main Authors: | Nguyen, Minh-Quan, Le, Nhat-Tan, Nguyen-An, Khuong, Luu, Duc-Thi |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
On the Hull-White model with volatility smile for Valuation Adjustments
by: van der Zwaard, T., et al.
Published: (2024)
by: van der Zwaard, T., et al.
Published: (2024)
The Log Private Company Valuation Model
by: Gankhuu, Battulga
Published: (2022)
by: Gankhuu, Battulga
Published: (2022)
Herding Unmasked: Insights into Cryptocurrencies, Stocks and US ETFs
by: Nguyen, An Pham Ngoc, et al.
Published: (2024)
by: Nguyen, An Pham Ngoc, et al.
Published: (2024)
Quantum Advantage for Multi-option Portfolio Pricing and Valuation Adjustments
by: Han, Jeong Yu, et al.
Published: (2022)
by: Han, Jeong Yu, et al.
Published: (2022)
Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments
by: van der Zwaard, T., et al.
Published: (2022)
by: van der Zwaard, T., et al.
Published: (2022)
Contingent Claim Valuation under Increasing Profit, Strong Arbitrage, and Arbitrage of the First Kind
by: Tsuzuki, Yukihiro
Published: (2026)
by: Tsuzuki, Yukihiro
Published: (2026)
A Path Integral Approach for Time-Dependent Hamiltonians with Applications to Derivatives Pricing
by: Stedman, Mark, et al.
Published: (2024)
by: Stedman, Mark, et al.
Published: (2024)
Do stock markets care about climate change: A public media perspective
by: Minh Nhat Nguyen, et al.
Published: (2024)
by: Minh Nhat Nguyen, et al.
Published: (2024)
Pricing and hedging short-maturity Asian options in local volatility models
by: Kim, Jaehyun, et al.
Published: (2019)
by: Kim, Jaehyun, et al.
Published: (2019)
On a Stationarity Theory for Stochastic Volterra Integral Equations
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
Modeling Stock Return Distributions and Pricing Options
by: Jiang, Xinxin
Published: (2025)
by: Jiang, Xinxin
Published: (2025)
Agent-Based Models for Two Stocks with Superhedging
by: Crisci, Dario, et al.
Published: (2025)
by: Crisci, Dario, et al.
Published: (2025)
The Approach of Sliced Inference in Systems of Stochastic Differential Equations with Comments on the Heston Model
by: Özsoy, Ahmet Umur
Published: (2025)
by: Özsoy, Ahmet Umur
Published: (2025)
Spanning Multi‐Asset Payoffs With ReLUs
by: Sébastien Bossu, et al.
Published: (2025)
by: Sébastien Bossu, et al.
Published: (2025)
A case study on different one-factor Cheyette models for short maturity caplet calibration
by: Polala, Arun Kumar, et al.
Published: (2024)
by: Polala, Arun Kumar, et al.
Published: (2024)
On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model
by: Alòs, Elisa, et al.
Published: (2023)
by: Alòs, Elisa, et al.
Published: (2023)
Valuation of Variable Annuities with Equity Protection Swaps under Jumps and Default Risks
by: Rutkowski, Marek, et al.
Published: (2026)
by: Rutkowski, Marek, et al.
Published: (2026)
VIX and European options with jumps in the short-maturity regime
by: Guo, Desen, et al.
Published: (2026)
by: Guo, Desen, et al.
Published: (2026)
Minimizing the Value-at-Risk of Loan Portfolio via Deep Neural Networks
by: Di Wang, Albert, et al.
Published: (2025)
by: Di Wang, Albert, et al.
Published: (2025)
Statistical Learning of Value‐at‐Risk and Expected Shortfall
by: David Barrera, et al.
Published: (2025)
by: David Barrera, et al.
Published: (2025)
How Does Big Data Analytics Impact Accounting Manipulation?
by: Van Anh Thi Pham, et al.
Published: (2025)
by: Van Anh Thi Pham, et al.
Published: (2025)
The Optimal Mean–Variance Selling Problem With Finite Horizon
by: Peter Johnson, et al.
Published: (2026)
by: Peter Johnson, et al.
Published: (2026)
Chaotic Hedging with Iterated Integrals and Neural Networks
by: Neufeld, Ariel, et al.
Published: (2022)
by: Neufeld, Ariel, et al.
Published: (2022)
The not-so-hidden risks of 'hidden-to-maturity' accounting: on depositor runs and bank resilience
by: Feinstein, Zachary, et al.
Published: (2024)
by: Feinstein, Zachary, et al.
Published: (2024)
An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Comparative Statics of Trading Boundary in Finite Horizon Portfolio Selection with Proportional Transaction Costs
by: Li, Jintao, et al.
Published: (2024)
by: Li, Jintao, et al.
Published: (2024)
Funding-Aware Optimal Market Making for Perpetual DEXs
by: Le, Nam Anh
Published: (2026)
by: Le, Nam Anh
Published: (2026)
Quantum Probability Theoretic Asset Return Modeling: A Novel Schrödinger-Like Trading Equation and Multimodal Distribution
by: Lin, Li
Published: (2024)
by: Lin, Li
Published: (2024)
Corporate debt value under transition scenario uncertainty
by: Theo Le Guenedal, et al.
Published: (2024)
by: Theo Le Guenedal, et al.
Published: (2024)
Qualitative Properties of Solutions of Nonlinear Fractional Diffusion Equations Perturbed by a Multiplicative H ‐Regular Space‐Time White Noise
by: Dang Duc Trong, et al.
Published: (2025)
by: Dang Duc Trong, et al.
Published: (2025)
Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities
by: Chen, Zixing, et al.
Published: (2025)
by: Chen, Zixing, et al.
Published: (2025)
Stochastic Expansion for the Pricing of Asian and Basket Options
by: Floc'h, Fabien Le
Published: (2024)
by: Floc'h, Fabien Le
Published: (2024)
Outperforming a Benchmark with $α$-Bregman Wasserstein divergence
by: Pesenti, Silvana M., et al.
Published: (2026)
by: Pesenti, Silvana M., et al.
Published: (2026)
Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
by: Floc'h, Fabien Le
Published: (2025)
by: Floc'h, Fabien Le
Published: (2025)
Semiclassical CEV Option Pricing Model: an Analytical Approach
by: Capitán, Jose A., et al.
Published: (2024)
by: Capitán, Jose A., et al.
Published: (2024)
Eigen Portfolios: From Single Component Models to Ensemble Approaches
by: Zhou, ZhengXiang, et al.
Published: (2025)
by: Zhou, ZhengXiang, et al.
Published: (2025)
A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Heterogenous Macro-Finance Model: A Mean-field Game Approach
by: Vu, Hoang, et al.
Published: (2025)
by: Vu, Hoang, et al.
Published: (2025)
Stochastic Calculus and the Black-Scholes-Merton Model: A Simplified Approach
by: Chang, Kuo-Ping
Published: (2026)
by: Chang, Kuo-Ping
Published: (2026)
A Unifying Approach for the Pricing of Debt Securities
by: Vachon, Marie-Claude, et al.
Published: (2024)
by: Vachon, Marie-Claude, et al.
Published: (2024)
Similar Items
-
On the Hull-White model with volatility smile for Valuation Adjustments
by: van der Zwaard, T., et al.
Published: (2024) -
The Log Private Company Valuation Model
by: Gankhuu, Battulga
Published: (2022) -
Herding Unmasked: Insights into Cryptocurrencies, Stocks and US ETFs
by: Nguyen, An Pham Ngoc, et al.
Published: (2024) -
Quantum Advantage for Multi-option Portfolio Pricing and Valuation Adjustments
by: Han, Jeong Yu, et al.
Published: (2022) -
Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments
by: van der Zwaard, T., et al.
Published: (2022)