Valuation of stock loan under uncertain stock model with floating interest rate

被引：6
|
作者：
Wang, Weiwei [1 ]
Chen, Ping [1 ]
机构：
[1] Nanjing Univ Sci & Technol, Sch Sci, Nanjing 210094, Peoples R China
来源：
SOFT COMPUTING | 2020年 / 24卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Uncertainty theory; Uncertain differential equation; Uncertain stock model; Stock loan; OPTION;
D O I：
10.1007/s00500-019-04007-1
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Stock loan is a special loan with stocks as collateral, which offers the borrower the right to redeem the stocks at any time prior to the loan maturity by repaying the bank the principal and the loan interest. In this paper, we investigate the valuation of stock loan under an uncertain stock model with floating interest rate. The pricing formulas of standard stock loan and capped stock loan for the stock model are derived by using the method of uncertain calculus. Subsequently, some numerical algorithms are designed to calculate the prices of stock loans based on the pricing formulas. Finally, some numerical experiments are presented to study the relationship between stock loan price and some parameters.
引用
收藏
页码：1803 / 1814
页数：12
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