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A new stock loan problem based on the mean-reverting equation in an uncertain environment

  • Fuzzy systems and their mathematics
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Abstract

This paper investigates the valuations of stock loan, the stock loan with cyclical dividends, and the stock loan with cap based on the uncertainty theory. Assuming that stock price can be described by an uncertain mean-reverting equation, the value formulas of stock loan, the stock loan with cyclical dividends, and the stock loan with cap are derived, respectively. Based on those formulas, the loan amount can be obtained. To verify the validity of the proposed models, we give some simulation examples.

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Authors and Affiliations

  1. School of Information Technology and Management, University of International Business and Economics, Beijing, 100029, China

    Xiaojing Yan, Xiangfeng Yang, Peng Zhang & Ziqian Zhang

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  1. Xiaojing Yan
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  2. Xiangfeng Yang
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  3. Peng Zhang
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  4. Ziqian Zhang
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Correspondence to Xiangfeng Yang.

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Yan, X., Yang, X., Zhang, P. et al. A new stock loan problem based on the mean-reverting equation in an uncertain environment. Soft Comput 26, 2741–2750 (2022). https://doi.org/10.1007/s00500-021-06700-6

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  • DOI: https://doi.org/10.1007/s00500-021-06700-6

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