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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• Stock loan with automatic termination clause, cap and margin
• Milne method for solving uncertain differential equations
• Adams method for solving uncertain differential equations
• Existence and uniqueness theorem for uncertain differential equations
• An uncertain currency model with floating interest rates
• Valuation of power option for uncertain financial market
• Uncertain contour process and its application in stock model with floating interest rate
• Mean-reverting stock model with floating interest rate in uncertain environment
• Valuation of European option under uncertain volatility model
• Valuation of stock loan under uncertain environment
• Uncertain term structure model of interest rate
• Valuation of stock loans with jump risk
• Stock loan valuation under a stochastic interest rate model
• Some stability theorems of uncertain differential equation
• Uncertain stock model with periodic dividends
• UNCERTAIN OPTIMAL CONTROL WITH APPLICATION TO A PORTFOLIO SELECTION MODEL
• Prospect Theory: An Analysis of Decision under Risk
• Valuation of stock loan under uncertain mean-reverting stock model
• PRICING ASIAN OPTIONS IN AN UNCERTAIN STOCK MODEL WITH FLOATING INTEREST RATE
• A numerical method for solving uncertain differential equations
• STOCK LOANS
• Uncertainty theory

This page was built for publication: Valuation of stock loan under uncertain stock model with floating interest rate