论文标题
在难以借本的模型下的措施更改
Change of measure under the hard-to-borrow model
论文作者
论文摘要
由于证券交易委员会（SEC）已针对短期销售实施了一项新的法规，一旦清算风险上升到一定水平，需要短售货员才能回购股票。 Avellaneda和Lipkin提出了一个完全耦合的SDE系统，以描述称为难以借贷（HTB）模型的机制。 Guiyuan MA获得了美国和欧洲选择的PDE系统。 Guiyuan MA有一个技术误差，在更改度量之前，应转换两个相关的Brownian运动。在本文中，我将提供补充条件。
As the Securities and Exchange Commission(SEC) has implemented a new regulation on short-sellings, short-sellers are required to repurchase stocks once the clearing risk rises to a certain level. Avellaneda and Lipkin proposed a fully coupled SDE system to describe the mechanism which is referred as Hard-To-Borrow(HTB) models. Guiyuan Ma obtained the PDE system for both American and European options. There is a technical error in Guiyuan Ma where two correlated Brownian motion should be converted before change of measure. In this paper, I will provide supplement conditions.
