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Margin Trading Through Hyper Timeline

Author

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  • SIU-AH NG

    (School of Mathematical Sciences, University of KwaZulu-Natal, Pietermaritzburg, 3209, South Africa)

Abstract

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.

Suggested Citation

  • Siu-Ah Ng, 2007. "Margin Trading Through Hyper Timeline," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(05), pages 801-815.
    • Handle: RePEc:wsi:ijtafx:v:10:y:2007:i:05:n:s0219024907004470
    DOI: 10.1142/S0219024907004470
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    Cited by:

    1. Xinxian Wang & Jun He & Tim Futing Liao & Gaoxiang Gu, 2023. "Does Air Pollution Influence the Settlement Intention of the Floating Population in China? Individual Heterogeneity and City Characteristics," Sustainability, MDPI, vol. 15(4), pages 1-17, February.

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