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

DOI10.1007/S00500-019-04007-1zbMath1436.91108OpenAlexW2941413453WikidataQ127966585 ScholiaQ127966585MaRDI QIDQ780313

Ping Chen, Wei-wei Wang

Publication date: 15 July 2020

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-019-04007-1

zbMATH Keywords

uncertainty theoryuncertain differential equationstock loanuncertain stock model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial markets (91G15)

Related Items (4)

Continuity and variation analysis of fractional uncertain processes ⋮ Option pricing formulas for uncertain exponential Ornstein-Uhlenbeck model with dividends ⋮ Valuation of lookback option under uncertain volatility model ⋮ Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process

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