Stock Loan Valuation under Uncertain Mean-reverting Stock Model
نویسندگان
چکیده
This paper is concerned with valuation of stock loans. The underlying stock price is assumed to follow a mean reverting uncertain differential equation driven by canonical Liu process in this paper. The price formulas of standard stock loan and capped stock loan are derived by using method of uncertain calculus within the framework of uncertainty theory.
منابع مشابه
Valuation of stock loan under uncertain mean-reverting stock model
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...
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Article history: Received 24 November 2011 Received in revised form 29 February 2012 Accepted 17 May 2012 Available online 23 May 2012
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