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Soft Computing

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05.04.2017 | Focus

Valuation of stock loan under uncertain environment

verfasst von: Zhiqiang Zhang, Weiqi Liu, Jianhua Ding

Erschienen in: Soft Computing | Ausgabe 17/2018

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Abstract

In this paper, within the framework of uncertainty theory, the valuation of stock loan is investigated. Different from the methods of probability theory, we solve the stock loan pricing problem by using the method of uncertain calculus. Based on the assumption that the underlying asset price follows an uncertain differential equation, we obtain the stock loan pricing formulas for uncertain stock model.

Vorheriger Artikel A stronger law of large numbers for uncertain random variables

Nächster Artikel Stability analysis of uncertain singular systems

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Titel: Valuation of stock loan under uncertain environment
verfasst von: Zhiqiang Zhang
Weiqi Liu
Jianhua Ding
Publikationsdatum: 05.04.2017
Verlag: Springer Berlin Heidelberg
Erschienen in: Soft Computing / Ausgabe 17/2018
Print ISSN: 1432-7643
Elektronische ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-017-2591-x

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