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Valuation of stock loan under uncertain environment

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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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Authors and Affiliations

  1. School of Mathematics and Computer Science, Shanxi Datong University, Datong, 037009, China

    Zhiqiang Zhang & Jianhua Ding

  2. Institute of Management and Decision, Shanxi University, Taiyuan, 030006, China

    Weiqi Liu

  3. Faculty of Finance and Banking, Shanxi University of Finance and Economics, Taiyuan, 030006, China

    Weiqi Liu

Authors
  1. Zhiqiang Zhang
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  2. Weiqi Liu
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  3. Jianhua Ding
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Corresponding author

Correspondence to Jianhua Ding.

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The authors declare that there is no conflict of interests regarding the publication of this paper.

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This article does not contain any studies with human participants or animals performed by any of the authors.

Additional information

Communicated by Y. Ni.

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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

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