Valuation of stock loan under uncertain mean-reverting stock model

DOI10.3233/JIFS-17378zbMATHOpenAlexMaRDI QIDQ4599522FDO

Authors 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)

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Cited in

(9)

• Valuation of stock loan under uncertain stock model with floating interest rate
• Stabilization of a stock-loan valuation PDE process using differential flatness theory
• Pricing stock loans with the CGMY model
• Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation
• Optimal harvesting strategy based on uncertain logistic population model
• Power option pricing problem based on uncertain mean-reverting stock model with floating interest rate
• Valuation of stock loan under uncertain environment
• Parameter estimation of uncertain differential equation with application to financial market
• Stock loan valuation under a regime-switching model with mean-reverting and finite maturity

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