A new stock loan problem based on the mean-reverting equation in an uncertain environment

被引：0
|
作者：
Xiaojing Yan
Xiangfeng Yang
Peng Zhang
Ziqian Zhang
机构：
[1] University of International Business and Economics,School of Information Technology and Management
来源：
Soft Computing | 2022年 / 26卷
关键词：
Stock loan; Uncertain differential equation; Mean-reverting model; Uncertainty theory;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper investigates the valuations of stock loan, the stock loan with cyclical dividends, and the stock loan with cap based on the uncertainty theory. Assuming that stock price can be described by an uncertain mean-reverting equation, the value formulas of stock loan, the stock loan with cyclical dividends, and the stock loan with cap are derived, respectively. Based on those formulas, the loan amount can be obtained. To verify the validity of the proposed models, we give some simulation examples.
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页码：2741 / 2750
页数：9
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