Valuation of stock loan under uncertain mean-reverting stock model

نویسندگان

  • Gang Shi
  • Zhiqiang Zhang
  • Yuhong Sheng
چکیده

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. 7

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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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عنوان ژورنال:
  • Journal of Intelligent and Fuzzy Systems

دوره 33  شماره 

صفحات  -

تاریخ انتشار 2017