Valuation of stock loan under uncertain mean-reverting stock model

被引：10

作者：

Shi, Gang ^{[1
]}

Zhang, Zhiqiang ^{[2
]}

Sheng, Yuhong ^{[3
]}

机构：

[1] Tsinghua Univ, Dept Comp Sci, Beijing, Peoples R China

[2] Shanxi Datong Univ, Sch Math & Comp Sci, Datong, Peoples R China

[3] Xinjiang Univ, Coll Math & Syst Sci, Urumqi 830046, Peoples R China

来源：

JOURNAL OF INTELLIGENT & FUZZY SYSTEMS | 2017年 / 33卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Stock loan; uncertainty theory; uncertain differential equation; uncertain stock model; OPTION;

D O I：

10.3233/JIFS-17378

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 different from the traditional loan, it needs to be collateralized by stock. Fairly valuing stock loan is very important for financial market participants. The main contribution of this paper is to give a valuing method of stock loan in uncertain environment. Under the assumption that the underlying stock price follows an uncertain mean-reverting stock model, the price formulas of standard stock loan and capped stock loan are derived by using the method of uncertain calculus. Some numerical examples are presented to illustrate the related results.

引用

页码：1355 / 1361

页数：7

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