Journal
SOFT COMPUTING
Volume 22, Issue 17, Pages 5663-5669Publisher
SPRINGER
DOI: 10.1007/s00500-017-2591-x
Keywords
Uncertainty theory; Uncertain differential equation; Uncertain stock model; Stock loan
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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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