Valuation of stock loan under uncertain stock model with floating interest rate

DOI10.1007/S00500-019-04007-1MaRDI QIDQ780313zbMATH OpenOpenAlexWikidataFDO

Authors Ping Chen, Weiwei 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

Financial markets (91G15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

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

Cited in

(10)

• STOCK LOANS
• Capped stock loans
• Valuation of the stock loans with counterparty risk
• Continuity and variation analysis of fractional uncertain processes
• Valuation of stock loan under uncertain mean-reverting stock model
• Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
• Option pricing formulas for uncertain exponential Ornstein-Uhlenbeck model with dividends
• Valuation of lookback option under uncertain volatility model
• Valuation of stock loan under uncertain environment
• Stock loan valuation under a stochastic interest rate model

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