Valuation of stock loan under uncertain mean-reverting stock model

DOI10.3233/JIFS-17378zbMATH Open1377.91175OpenAlexW2736059556MaRDI QIDQ4599522FDOQ4599522

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

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zbMATH Keywords

uncertainty theoryuncertain differential equationstock loanuncertain stock model

Mathematics Subject Classification ID

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

Cited In (8)

• Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation
• Stabilization of a stock-loan valuation PDE process using differential flatness theory
• Power Option Pricing Problem Based on Uncertain Mean-Reverting Stock Model with Floating Interest Rate
• Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
• Optimal harvesting strategy based on uncertain logistic population model
• Parameter estimation of uncertain differential equation with application to financial market
• Valuation of stock loan under uncertain stock model with floating interest rate
• Pricing stock loans with the CGMY model

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