Pricing of Margin Call Stock Loan Based on the FMLS
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-06-27
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
In common stock loan, lenders face the risk that their loans will not be repaid if the stock price falls below loan, which limits the issuance and circulation of stock loans.
The empirical test suggests that the log-return series of stock price in the US market reject the normal distribution and admit instead a subclass of the asymmetric distribution.
In this paper, we investigate the model of the margin call stock loan problem under the assumption that the return of stock follows the finite moment log-stable process (FMLS).
In this case, the pricing model of the margin call stock loan can be described by a space-fractional partial differential equation with a time-varying free boundary condition.
We transform the free boundary problem to a linear complementarity problem, and the fully-implicit finite difference method that we used is unconditionally stable in both the integer and fractional order.
The numerical experiments are carried out to demonstrate differences of the margin call stock loan model under the FMLS and the standard normal distribution.
Last, we analyze the impact of key parameters in our model on the margin call stock loan evaluation and give some reasonable explanation.
American Psychological Association (APA)
Xiang, Kaili& Hu, Peng& Li, Xiao. 2020. Pricing of Margin Call Stock Loan Based on the FMLS. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-9.
https://search.emarefa.net/detail/BIM-1195872
Modern Language Association (MLA)
Xiang, Kaili…[et al.]. Pricing of Margin Call Stock Loan Based on the FMLS. Mathematical Problems in Engineering No. 2020 (2020), pp.1-9.
https://search.emarefa.net/detail/BIM-1195872
American Medical Association (AMA)
Xiang, Kaili& Hu, Peng& Li, Xiao. Pricing of Margin Call Stock Loan Based on the FMLS. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-9.
https://search.emarefa.net/detail/BIM-1195872
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1195872