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Soft Computing
Erschienen in: Soft Computing 3/2020

24.04.2019 | Methodologies and Application

Valuation of stock loan under uncertain stock model with floating interest rate

verfasst von: Weiwei Wang, Ping Chen

Erschienen in: Soft Computing | Ausgabe 3/2020

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Abstract

Stock loan is a special loan with stocks as collateral, which offers the borrower the right to redeem the stocks at any time prior to the loan maturity by repaying the bank the principal and the loan interest. In this paper, we investigate the valuation of stock loan under an uncertain stock model with floating interest rate. The pricing formulas of standard stock loan and capped stock loan for the stock model are derived by using the method of uncertain calculus. Subsequently, some numerical algorithms are designed to calculate the prices of stock loans based on the pricing formulas. Finally, some numerical experiments are presented to study the relationship between stock loan price and some parameters.
Vorheriger Artikel Jump detection in financial time series using machine learning algorithms
Nächster Artikel Fast curvelet transform through genetic algorithm for multimodal medical image fusion

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Metadaten
Titel
Valuation of stock loan under uncertain stock model with floating interest rate
verfasst von
Weiwei Wang
Ping Chen
Publikationsdatum
24.04.2019
Verlag
Springer Berlin Heidelberg
Erschienen in
Soft Computing / Ausgabe 3/2020
Print ISSN: 1432-7643
Elektronische ISSN: 1433-7479
DOI
https://doi.org/10.1007/s00500-019-04007-1

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