Stock Loan Valuation under Uncertain Mean-reverting Stock Model

نویسندگان

  • Weiqi Liu
  • Zhiqiang Zhang
  • Rong Gao
چکیده

This paper is concerned with valuation of stock loans. The underlying stock price is assumed to follow a mean reverting uncertain differential equation driven by canonical Liu process in this paper. The price formulas of standard stock loan and capped stock loan are derived by using method of uncertain calculus within the framework of uncertainty theory.

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تاریخ انتشار 2015