Stock loan valuation under uncertain mean-reverting stock model

摘要：

　　In this paper valuation of stock loans is investigated within the framework of uncertainty theory.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.

关键词： stock loan mean-reverting uncertainty theory uncertain differential equation uncertain stock model

作者: Zhiqiang Zhang Rong Gao Weiqi Liu

作者单位: School of Economics and Management, Shanxi University, Taiyuan 030006, China;School of Mathematics a Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China Institute of Management and Decision, Shanxi University, Taiyuan 030006, China

会议类型: 国内会议

会议名称: 第十三届中国不确定系统年会暨第九届中国智能计算大会

会议地点: 长春

会议语种:英文

页码: 229-236

在线出版日期: 2015-07-25（万方平台首次上网日期，不代表论文的发表时间）