Affiliations: [a] Department of Computer Sciences, Tsinghua University, Beijing, China
| [b] School of Mathematics and Computer Science, Shanxi Datong University, Datong, China
| [c] College of Mathematical and System Sciences, Xinjiang University, Urumchi, China
Correspondence:
[*]
Corresponding author. Yuhong Sheng, College of Mathematical and System Sciences, Xinjiang University, Urumchi 830046, China. Tel.: +8618167978160; E-mail: sheng-yh12@mails.tsinghua.edu.cn.
Abstract: Stock loan is different from the traditional loan, it needs to be collateralized by stock. Fairly valuing stock loan is very important for financial market participants. The main contribution of this paper is to give a valuing method of stock loan in uncertain environment. Under the assumption that the underlying stock price follows an uncertain mean-reverting stock model, the price formulas of standard stock loan and capped stock loan are derived by using the method of uncertain calculus. Some numerical examples are presented to illustrate the related results.
