English, Article edition: MARGIN TRADING THROUGH HYPER TIMELINE SIU-AH NG

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Bookmark: http://trove.nla.gov.au/version/82890
Physical Description
  • article
Language
  • English

Edition details

Title
  • MARGIN TRADING THROUGH HYPER TIMELINE
Author
  • SIU-AH NG
Physical Description
  • article
Notes
  • We consider a model of margin trading based on the hyperfinite timeline. Using only elementary nonstandard analysis we are able to derive explicit formulas for the expected margin call time and loss. Further margin trading strategy is studied and an application to pricing barrier option is given. We prove a generalization of the Catalan numbers which forms the combinatoric basis of our results and should be of independent interest.
  • Nonstandard analysis, infinitesimal, hyperreal, hypermodel, Catalan numbers, margin trading, option pricing
  • RePEc:wsi:ijtafx:v:10:y:2007:i:05:p:801-815
Language
  • English
Contributed by
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