Abstract
In this paper, within the framework of uncertainty theory, the valuation of stock loan is investigated. Different from the methods of probability theory, we solve the stock loan pricing problem by using the method of uncertain calculus. Based on the assumption that the underlying asset price follows an uncertain differential equation, we obtain the stock loan pricing formulas for uncertain stock model.
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Zhang, Z., Liu, W. & Ding, J. Valuation of stock loan under uncertain environment. Soft Comput 22, 5663–5669 (2018). https://doi.org/10.1007/s00500-017-2591-x
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DOI: https://doi.org/10.1007/s00500-017-2591-x