Valuation of stock loan under uncertain environment

被引：14
|
作者：
Zhang, Zhiqiang [1 ]
Liu, Weiqi [2 ,3 ]
Ding, Jianhua [1 ]
机构：
[1] Shanxi Datong Univ, Sch Math & Comp Sci, Datong 037009, Peoples R China
[2] Shanxi Univ, Inst Management & Decis, Taiyuan 030006, Peoples R China
[3] Shanxi Univ Finance & Econ, Fac Finance & Banking, Taiyuan 030006, Peoples R China
来源：
SOFT COMPUTING | 2018年 / 22卷 / 17期
关键词：
Uncertainty theory; Uncertain differential equation; Uncertain stock model; Stock loan; HOME BIAS; MODEL; OPTION;
D O I：
10.1007/s00500-017-2591-x
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
In this paper, within the framework of uncertainty theory, the valuation of stock loan is investigated. Different from the methods of probability theory, we solve the stock loan pricing problem by using the method of uncertain calculus. Based on the assumption that the underlying asset price follows an uncertain differential equation, we obtain the stock loan pricing formulas for uncertain stock model.
引用
收藏
页码：5663 / 5669
页数：7
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