Valuation of stock loan under uncertain mean-reverting stock model

DOI10.3233/JIFS-17378zbMath1377.91175OpenAlexW2736059556MaRDI QIDQ4599522

Gang Shi, Yuhong Sheng, Zhi-Qiang Zhang

Publication date: 4 January 2018

Published in: Journal of Intelligent & Fuzzy Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/jifs-17378

zbMATH Keywords

uncertainty theoryuncertain differential equationstock loanuncertain stock model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (5)

Parameter estimation of uncertain differential equation with application to financial market ⋮ Optimal harvesting strategy based on uncertain logistic population model ⋮ Valuation of stock loan under uncertain stock model with floating interest rate ⋮ Power Option Pricing Problem Based on Uncertain Mean-Reverting Stock Model with Floating Interest Rate ⋮ Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation

This page was built for publication: Valuation of stock loan under uncertain mean-reverting stock model