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)

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