MARGIN TRADING THROUGH HYPER TIMELINE

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.

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Year of publication:	2007
Authors:	NG, SIU-AH
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 05, p. 801-815
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Nonstandard analysis \| infinitesimal \| hyperreal \| hypermodel \| Catalan numbers \| margin trading \| option pricing

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005080466