Soft Comput
DOI 10.1007/s00500-017-2591-x
FOCUS
Valuation of stock loan under uncertain environment
Zhiqiang Zhang1 · Weiqi Liu2,3 · Jianhua Ding1
© Springer-Verlag Berlin Heidelberg 2017
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 calcu-
lus. 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.
Keywords Uncertainty theory · Uncertain differential
equation · Uncertain stock model · Stock loan
1 Introduction
Valuation of stock loan is a popular problem in financial fields
that has been attracting the attention of both the financial
market participants and academic researchers. Stock loan is
a contract between a borrower and a bank in the case of the
borrower obtains a loan from the bank with his or her own
stock as collateral that gives the borrower the right to regain
Communicated by Y. Ni.
B Jianhua Ding
sjdingjianhua@163.com
Zhiqiang Zhang
sjzhangzhiqiang@sxdtdx.edu.cn
Weiqi Liu
liuwq@sxu.edu.cn
1 School of Mathematics and Computer Science, Shanxi
Datong University, Datong 037009, China
2 Institute of Management and Decision, Shanxi University,
Taiyuan 030006, China
3 Faculty of Finance and Banking, Shanxi University of
Finance and Economics, Taiyuan 030006, China
the stock at any time prior to the loan maturity by repaying
the bank the principal plus interest associated to the loan,
otherwise the borrower will surrender the stock. The stock
loan can afford an opportunity to hedge against a financial
market downturn for a stock holder. For example, in the case
of the stock price goes up, the borrower can choose to repay
the loan and take back his or her stock. On the other hand, if
the stock price goes down, the borrower can choose to lose
the collateral rather than repaying the loan.
The valuation of stock loan has been investigated by many
scholars. The study of valuation of stock loan was pioneered
by Xia and Zhou (2007), they solved the pricing problem
of stock loan under the Black–Scholes model. Then, Zhang
and Zhou (2009) discussed the valuation problem of stock
loan with regime switching. Liang et al. (2010) investi-
gated the stock loan with automatic termination clause, cap
and margin. Wong and Wong (2012) derived an analytical
pricing formula of stock loan with stochastic volatility and
optimal exercise boundary by means of asymptotic expan-
sion. Pascucci et al. (2013) gave a mathematical analysis and
numerical methods for a partial differential equation model
of a stock loan pricing problem. Cai and Sun (2014) studied
the valuation of stock loans with jump risk.
Above-mentioned studies on valuation of stock loans are
all within the framework of probability theory. But a lot
of surveys showed that in financial practice human’s belief
degrees usually influence the investors’ judgement and deci-
sion making. For example, Kahneman and Tversky (1979)
found that investors often make a nonlinear transformation
of probability as their basis which they based on to make
decisions. In real complicated financial market, with the cog-
nitive resources limitations, many investors usually make
their belief degrees of some financial events according to the
experts’ advise or their knowledge as their basis of decision
making rather than to use the databases of extremely large
123

size to infer the parameter estimates or probabilities. From
these facts we can see that belief degrees play an impor-
tant role in real financial practice. The home bias puzzle
also showed that the role of belief degrees in financial prac-
tice is primary. Although many scholars try to explain the
home bias puzzle (see Ahearne et al. 2004; Devereux and
Saito 1997; Lewis 1999; Ueda 1999), undoubtedly, investors’
belief degrees play an important part in real financial market.
An axiomatic mathematics to deal with belief degrees
called uncertainty theory was founded by Liu (2007). For
modeling the evolution of phenomena with uncertainty, Liu
(2008) gave the concept of uncertain process in 2008. Liu
(2009) investigated a type of process that is a stationary
independent increment process whose increments are normal
uncertain variables. Later, this type of process was named
Liu process by the academic community. The Liu integral
was also introduced by Liu. The study of uncertain dif-
ferential equation was initiated by Liu (2008). After Liu’s
pioneer work, uncertain differential equation was extended
by many researchers and has been widely applied in many
fields, including uncertain finance, uncertain control, uncer-
tain differential game and so on.
In classical stochastic finance theory, the underlying asset
price process is assumed to follow the stochastic differential
equations. This assumption was challenged by many schol-
ars. Liu (2013) gave a convincing paradox to show that using
any stochastic differential equations to describe the stock
price process is inappropriate. Liu suggested using uncertain
differential equations to describe the stock price process.
In 2009, for the first time, uncertain differential equa-
tions were introduced into finance and an uncertain stock
model was presented by Liu (2009). The pricing problem of
European option, American option and geometric average
Asian option for Liu’s uncertain stock model was solved
by Liu (2009), Chen (2011) and Zhang and Liu (2014),
respectively. And Zhang et al. (2016b) derived the pricing
formulas of power option for Liu’s uncertain stock model.
Many scholars also proposed other uncertain stock models,
for example, Peng and Yao (2011) proposed an uncertain
mean-reverting stock model, Chen et al. (2013) proposed a
stock model with periodic dividends and derived the pricing
formulas for this type of model. Yao (2015a) obtained the
no-arbitrage determinant theorems for this type of uncertain
stock model. In 2015, based on the uncertain stock model
with jump, the problem of option pricing was discussed by
Ji and Zhou (2015). Chen and Gao (2013) proposed some
uncertain interest term structure model. Yao (2015b) applied
uncertain contour process to the stock model with floating
interest rate. The problem of valuing interest option was
discussed by Zhang et al. (2016a). Using the uncertain dif-
ferential equation to establish the exchange rate model, the
problem of currency option pricing was studied by Liu et al.
(2015). Besides, uncertain differential equation also has been
123
Z. Zhang et al.
applied in other fields. For example, Zhu (2010) introduced
uncertain differential equation into optimal control, differ-
ential games with applications to capitalism and resource
extraction problem by using uncertain differential equation
were studied by Yang and Gao (2013), and Yang and Gao
(2016), respectively.
In this paper, different from classical stochastic finance
theory, we investigate the valuation of stock loan within the
framework of uncertainty theory. Based on the assumption
that the stock price process follows an uncertain differential
equation, the stock loan pricing formulas are derived for Liu’s
uncertain stock model, and the valuation of stock loans is
also discussed under uncertain stock model with periodic
dividends.
The rest of the paper is organized as follows. In next sec-
tion, we introduce some useful concepts and theorems of
uncertainty theory as needed. In Sect. 3, we investigate the
valuation of stock loan for Liu’s uncertain stock model. In
Sect. 4, we explore the valuation of stock loan for uncertain
stock model with periodic dividends. Finally, we make a brief
conclusion in Sect. 5.
2 Preliminary
The following are some useful definitions and theorems of
uncertainty theory as needed.
Definition 2.1 (Liu 2007) Let Γ be a nonempty set, and let
L be a σ -algebra over Γ . An uncertain measure is a function
M : L → [0, 1] such that
Axiom 1 (Normality Axiom) M{Γ } = 1 for the universal
set Γ ;
Axiom 2 (Duality Axiom) M{Λ}+M{Λc } = 1 for any event
Λ;
Axiom 3 (Subadditivity Axiom) For every countable seque-
nce of events {Λi } we have
∞ 
 ∞

M Λi ≤ M{Λi }. (2.1)
i=1 i=1
A set Λ ∈ L is called an event. The uncertain measure
M{Λ} indicates the degree of belief that Λ will occur. The
triplet (Γ, L, M) is called an uncertainty space. In order to
obtain an uncertain measure of compound event, a product
uncertain measure was defined by Liu (2009).
Axiom 4 (Product Axiom) Let (Γk , Lk , Mk ) be uncertainty
spaces for k = 1, 2, . . . The product uncertain measure M is
an uncertain measure on the product σ -algebra L1 ×L2 ×· · ·
satisfying
Valuation of stock loan under uncertain environment
∞  ∞
  Theorem 2.3 (Liu 2010) Let ξ1 , ξ2 , . . . , ξn be independent
M Λk = Mk {Λk } (2.2) uncertain variables with regular uncertainty distributions
k=1 k=1
1 , 2 , . . . , n , respectively. If the function f (x1 , x2 , . . . ,
where Λk are arbitrarily chosen events from Lk for k = xn ) is strictly increasing with respect to x1 , x2 , . . . , xm and
1, 2, . . ., respectively. strictly decreasing with respect to xm+1 , xm+2 , . . . , xn , then
the uncertain variable
Definition 2.2 (Liu 2007) An uncertain variable is a mea-
surable function from an uncertainty space (Γ, L, M) to the
ξ = f (ξ1 , ξ2 , . . . , ξn ) (2.9)
set of real numbers, i.e., {ξ ∈ B} is an event for any Borel
set B.
has an inverse uncertainty distribution
Definition 2.3 (Liu 2007) The uncertainty distribution  of
an uncertain variable ξ is defined by Ψ −1 (α) = f (−1 −1
1 (α), . . . , m (α),

(x) = M{ξ ≤ x} (2.3) ×−1 −1

m+1 (1 − α), . . . , n (1 − α)). (2.10)

for any real number x. Liu and Ha (2010) proved that the uncertain variable ξ =
f (ξ1 , ξ2 , . . . , ξn ) has an expected value
Definition 2.4 (Liu 2007) An uncertain variable ξ is called
normal if it has a normal uncertainty distribution
1
  E[ξ ] = f (−1 −1
1 (α), . . . , m (α),
π(e − x) −1 0
(x) = 1 + exp √ (2.4)
3σ ×−1 −1
m+1 (1 − α), . . . , n (1 − α))dα. (2.11)

denoted by N (e, σ ) where e and σ are real numbers with
σ > 0.
Definition 2.5 (Liu 2010) An uncertainty distribution (x)
is said to be regular if it is a continuous and strictly increasing
function with respect to x at which 0 < (x) < 1, and
lim (x) = 0, lim (x) = 1.
x→−∞ x→+∞
Definition 2.6 (Liu 2010) Let ξ be an uncertain variable with
regular uncertainty distribution (x). Then the inverse func-
tion −1 (α) is called the inverse uncertainty distribution of ξ .
Definition 2.7 (Liu 2007) Let ξ be an uncertain variable.
Then the expected value of ξ is defined by
+∞
0 tinuous,
E[ξ ] = M{ξ ≥ r }dr − M{ξ ≤ r }dr
0 −∞
provided that at least one of the two integrals is finite.
An uncertain process is a sequence of uncertain variables
indexed by a totally ordered set T . A formal definition is
given below.
Definition 2.8 (Liu 2008) Let (Γ, L, M) be an uncertainty
space and let T be a totally ordered set (e.g., time). An uncer-
(2.5) tain process is a function X t (γ ) from T × (Γ, L, M) to the
set of real numbers such that {X t ∈ B} is an event for any
Borel set B at each time t.
Definition 2.9 (Liu 2009) An uncertain process Ct is said to
be a Liu process if
(i) C0 = 0 and almost all sample paths are Lipschitz con-
(2.6) (ii) Ct has stationary and independent increments,
(iii) every increment Cs+t − Cs is a normal uncertain vari-
able with expected value 0 and variance t 2 .

Theorem 2.1 (Liu 2007) Let ξ be an uncertain variable with In order to deal with the integration and differentiation of
uncertainty distribution . If the expected value exists, then uncertain processes, Liu (2009) proposed an uncertain inte-

+∞
0 gral with respect to Liu process.
E[ξ ] = (1 − (x))dx − (x)dx. (2.7)
0 −∞ Definition 2.10 (Liu 2009) Let X t be an uncertain process
and Ct be a Liu process. For any partition of closed interval
Theorem 2.2 (Liu 2010) Let ξ be an uncertain variable with
regular uncertainty distribution . Then [a, b] with a = t1 < t2 < · · · < tk+1 = b, the mesh is
defined as

1
E[ξ ] = −1 (α)dα. (2.8)  = max |ti+1 − ti |.
0 1≤i≤k

123
 Z. Zhang et al.

Then the Liu integral of X t is defined as Theorem 2.5 (Yao and Chen 2013) Let X t and X tα be the
solution and α-path of the uncertain differential equation

b 
k
X t dCt = lim X ti (Cti+1 − Cti ) (2.12) dX t = f (t, X t )dt + g(t, X t )dCt , (2.22)
a →0
i=1

provided that the limit exists almost surely and is finite. In respectively. Then the solution X t has an inverse uncertainty
this case, the uncertain process X t is said to be Liu integrable. distribution

Definition 2.11 (Chen and Ralescu 2013) Let Ct be a Liu t−1 (α) = X tα . (2.23)
process and let Z t be an uncertain process. If there exist
uncertain processes μt and σt such that Theorem 2.6 (Yao 2013) Let X t and X tα be the solution and


α-path of the uncertain differential equation
t t
Zt = Z0 + μs ds + σs dCs (2.13)
0 0 dX t = f (t, X t )dt + g(t, X t )dCt , (2.24)

for any t ≥ 0, then Z t is called a Liu process with drift μt and

respectively. Then for any time s > 0 and strictly increasing
diffusion σt . Furthermore, Z t has an uncertain differential
function J (x), the supremum
dZ t = μt dt + σt dCt . (2.14)
sup J (X t ) (2.25)
0≤t≤s
Liu (2009) verified the fundamental theorem of uncertain
calculus, i.e., for a Liu process Ct and a continuous differen- has an inverse uncertainty distribution
tiable function h(t, c), the uncertain process Z t = h(t, Ct )
is differentiable and has a Liu differential s−1 (α) = sup J (X tα ); (2.26)
0≤t≤s
∂h ∂h
dZ t = (t, Ct )dt + (t, Ct )dCt . (2.15)
∂t ∂c and the infimum

Definition 2.12 (Yao and Chen 2013) Let α be a number

inf J (X t ) (2.27)
with 0 < α < 1. An uncertain differential equation 0≤t≤s

dX t = f (t, X t )dt + g(t, X t )dCt (2.16) has an inverse uncertainty distribution

is said to have an α-path X tα if it solves the corresponding s−1 (α) = inf J (X tα ). (2.28)
0≤t≤s
ordinary differential equation

dX tα = f (t, X tα )dt + |g(t, X tα )|−1 (α)dt (2.17)

3 Valuation of stock loan for Liu’s uncertain stock
model
where −1 (α) is the inverse standard normal uncertainty
distribution, i.e.,
Different from classical stochastic finance theory, Liu (2009)
√ suggested to describe the stock price process by using an
−1 3 α
 (α) = ln . (2.18) uncertain differential equation and proposed an uncertain
π 1−α stock model as follows
Theorem 2.4 (Yao and Chen 2013) Let X t and X tα be the
dX t = r X t dt
solution and α-path of the uncertain differential equation (3.1)
dSt = μSt dt + σ St dCt
dX t = f (t, X t )dt + g(t, X t )dCt , (2.19)
where X t is the bond price, St is the stock price, r is the
riskless interest rate, μ is the log-drift, σ is the log-diffusion,
respectively. Then
and Ct is a Liu process.
  It follows from the Eq. (3.1) that the stock price is
M X t ≤ X tα , ∀t = α, (2.20)
 
M X t > X tα , ∀t = 1 − α. (2.21) St = S0 exp(μt + σ Ct ) (3.2)

123
Valuation of stock loan under uncertain environment

whose inverse uncertainty distribution is sup exp(−r t)[St − K exp(θ t)]+ has an inverse uncertainty
 √  0≤t≤T
σt 3 α distribution
−1
t (α) = S0 exp μt + ln . (3.3)
π 1−α  √  +
σt 3 α
sup exp(−r t) S0 exp μt+ ln −K exp(θ t) .
0≤t≤T π 1−α
The stock loan problem can be described as follows. A
borrower obtains amount K from a bank with one share of (3.8)
his or her stock as collateral. After paying a service fee c
(0 < c < K ) to the bank, the borrower receives the amount Therefore, the value of the stock loan is
(K − c). The borrower has the right to regain the stock at any
  √ 
1 σt 3 α
time prior to the loan maturity T by repaying the bank the f = sup exp(−r t) S0 exp μt + ln
principal plus interest associated to the loan that is K exp(θ t), 0 0≤t≤T π 1−α
where θ > r is the loan interest rate. This means that the +
borrower pays S0 − (K − c) to buy an American option with −K exp(θ t) dα. (3.9)
a time-varying strike price K exp(θ t) and maturity T at time
0. The present value of the payoff of the borrower is 

sup exp(−r t)[St − K exp(θ t)]+ . (3.4) Example 3.1 Suppose that the stock price follows the uncer-
0≤t≤T
tain stock model (3.1) with parameters μ = 0.07 and
Thus, the value of the stock loan should be the expected σ = 0.35. Assume the riskless interest rate r = 0.06, the
present value of the payoff. initial stock price S0 = 40, the loan amount K = 28, loan
interest rate θ = 0.08, the maturity time T = 1. By the for-
Definition 3.1 Assume a stock loan has loan amount K , loan mula of Theorem 3.1, we can calculate out that the value of
interest rate θ and loan maturity T . Let f denote the value stock loan is
of the stock loan. Then the value of the stock loan is
  f = 13.96.
 +
f = E sup exp(−r t) St − K exp(θ t) . (3.5)
0≤t≤T
4 Valuation of stock loan with periodic dividends
For rationally determining the parameters K , c and θ , the
evaluation of the value of the stock loan is needed. In this In above section, we do not consider the case of the stock with
paper, our main goal is to evaluate the stock loan value defined dividends. In most cases, the dividends are paid by enterprises
in (3.5) and (4.4). that will affect the price of their stock. Chen et al. (2013)
proposed a stock model with periodic dividends to describe
Theorem 3.1 Assume a stock loan for the stock model (3.1) the case of the equity pays a dividend of a fraction δ of the
has loan amount K , loan interest rate θ and loan maturity stock price at deterministic T1 , T2 , . . . , the stock model can
T . Then the value of the stock loan is be written as follows

  √ 
1 σt 3 α X t = X 0 exp(r t)
f = sup exp(−r t) S0 exp μt + ln (4.1)
0 0≤t≤T π 1−α St = S0 (1 − δ)n[t] exp(μt + σ Ct )
+
where X t is the bond price, St is the stock price, r is the
−K exp(θ t) dα. (3.6) riskless interest rate, μ is the expected return rate, σ is the
volatility, and Ct is a Liu process, n[t] = max{i : Ti ≤ t} is
Proof The uncertain differential equation dSt = μSt dt + the number of dividend payments made by time t. Thus, the
σ St dCt has an α-path value of dividends at time t can be described by
  It = S0 exp(μt + σ Ct ) − S0 (1 − δ) exp(μt + σ Ct )(4.2)
n[t]
Stα = S0 exp μt + σ −1 (α)t (3.7) 
= S0 1 − (1 − δ) n[t]
exp(μt + σ Ct ).
where −1 (α) is the inverse standard normal uncertainty
Assume the dividends associated to the stock are gained by
distribution.
both borrower and bank with equal half amount of the divi-
Since J (x) = exp(−r t)[x − K exp(θ t)]+ is an increasing
dends. Then the present value of the payoff of the borrower
function, it follows from Theorem2.6 that sup J (St ) =
0≤t≤T is

123
 Z. Zhang et al.

 +   √ 
1 1   σt 3 α
sup exp(−r t) St + It − K exp(θ t) . (4.3) S0 1 + (1 − δ)n[t]
exp μt + ln
0≤t≤T 2 2 π 1−α
+
The value of the stock loan should be the expected present
−K exp(θ t) . (4.8)
value of the payoff of the borrower. Thus, the stock loan value
is given by the definition as below.
Definition 4.1 Assume dividends associated to the stock are Therefore, the value of the stock loan is
gained by both borrower and bank with equal half amount of

1
the dividends, and the stock loan has loan amount K , loan
f = sup exp(−r t)
interest rate θ and loan maturity T . Let f denote the value 0 0≤t≤T
of the stock loan. Then the value of the stock loan is   √ 
1   σt 3 α
  +  S0 1 + (1 − δ)n[t]
exp μt + ln
1 2 π 1−α
f = E sup exp(−r t) St + It − K exp(θ t) . +
0≤t≤T 2
(4.4) −K exp(θ t) dα. (4.9)

Theorem 4.1 Assume a stock loan for the stock model (4.1)


has loan amount K , loan interest rate θ and loan maturity

T . Then the value of the stock loan is Example 4.1 Suppose that the stock price follows the uncer-

1 tain stock model (4.1), the parameters are μ = 0.07,
f = sup exp(−r t) σ = 0.35 and δ = 0.05. Assume the riskless interest rate

0 0≤t≤T
  r = 0.06, the initial stock price S0 = 40, the loan amount
√
1   σt 3 α K = 28, loan interest rate θ = 0.08, the maturity time T = 1,
S0 1 + (1 − δ)n[t]
exp μt + ln and the dividend are paid at deterministic times T1 = 0.5 and
2 π 1−α
+ T2 = 1. By the formula of Theorem 4.1, we can calculate out
that the value of stock loan is
−K exp(θ t) dα. (4.5)
f = 13.61.
Proof As we know, Ct has an inverse uncertainty distribution
√
t 3 α
−1
t (α) = ln . (4.6) 5 Conclusions
π 1−α
1 1   In this paper, we investigated the valuation of stock loan
St + It = S0 1 + (1 − δ)n[t] exp(μt + σ Ct ) is within the framework of uncertainty theory. Based on the
2 2
1 assumption that the underlying stock price follows the geo-
increasing with respect to Ct , hence St + It has an inverse metric Liu process, the formulas of price of stock loan for
2
uncertainty distribution Liu’s uncertain stock model and the stock model with peri-
1   odic dividends proposed by Chen, Liu and Ralescu were
Ψt−1 (α) =S0 1 + (1 − δ)n[t] exp(μt + σ −1
t (α)) derived with the method of uncertain calculus.
2  
√
1   σt 3 α Compliance with ethical standards
= S0 1 + (1 − δ)n[t]
exp μt + ln .
2 π 1−α
Conflict of interest The authors declare that there is no conflict of
(4.7) interests regarding the publication of this paper.

Since J (x) = exp(−r t)[x − K exp(θ t)]+ is an increasing


Ethical approval This article does not contain any studies with human
participants or animals performed by any of the authors.
function, it follows from Theorem 2.6 that sup J St +
0≤t≤T
1  1
It = sup exp(−r t)[St + It − K exp(θ t)]+ has an
2 0≤t≤T 2 References
inverse uncertainty distribution
Ahearne AG, Griever WL, Warnock FE (2004) Information costs and
Υt−1 (α) = sup exp(−r t) home bias: an analysis of US holdings of foreign equities. J Int
0≤t≤T Econ 62:313–336

123
Valuation of stock loan under uncertain environment
Cai N, Sun L (2014) Valuation of stock loans with jump risk. J Econ
Dyn Control 40:213–241
Chen XW (2011) American option pricing formula for uncertain finan-
cial market. Int J Oper Res 8(2):32–37
Chen XW, Gao J (2013) Uncertain term structure model of interest rate.
Soft Comput 17(4):597–604
Chen XW, Ralescu DA (2013) Liu process and uncertain calculus. J
Uncertain Anal Appl 1:3
Chen XW, Liu YH, Ralescu DA (2013) Uncertain stock model with
periodic dividends. Fuzzy Optim Decis Making 12(1):111–123
Devereux MB, Saito M (1997) Growth and risk sharing with incomplete
international assets markets. J Int Econ 42:453–481
Ji XY, Zhou J (2015) Option pricing for an uncertain stock model with
jumps. Soft Comput 19(11):3323–3329
Kahneman D, Tversky A (1979) Prospect theory: an analysis of decision
making under risk. Econometrica 47:263–291
Lewis K (1999) Trying to explain the home bias in equities and con-
sumption. J Econ Lit 37:571–608
Liang Z, Wu W, Jiang S (2010) Stock loan with automatic termination
clause, cap and margin. Comput Math Appl 60:3160–3176
Liu B (2007) Uncertainty theory, 2nd edn. Springer, Berlin
Liu B (2008) Fuzzy process, hybrid process and uncertain process. J
Uncertain Syst 2(1):3–16
Liu B (2009) Some research problems in uncertainty theory. J Uncertain
Syst 3(1):3–10
Liu B (2010) Uncertainty theory: a branch of mathematics for modeling
human uncertainty. Springer, Berlin
Liu B (2013) Toward uncertain finance theory. J Uncertain Anal Appl
1:1
Liu YH, Ha MH (2010) Expected value of function of uncertain vari-
ables. J Uncertain Syst 4(3):181–186
Liu YH, Chen XW, Ralescu DA (2015) Uncertain currency model and
currency option pricing. Int J Intell Syst 30:40–51
Pascucci A, Suarez-Taboada M, Vazquez C (2013) Mathematical analy-
sis and numerical methods for a PDE model of a stock loan pricing
problem. J Math Anal Appl 403:38–53
Peng J, Yao K (2011) A new option pricing model for stocks in uncer-
tainty markets. Int J Oper Res 8(2):18–26
Ueda M (1999) Incomplete observation, filtering, and the home bias
puzzle. Econ Lett 62:75–80
Wong TW, Wong HY (2012) Stochastic volatility asymptotics of stock
loans: valuation and optimal stopping. J Math Anal Appl 394:337–
346
Xia J, Zhou XY (2007) Stock loans. Math Finance 17:307–317
Yang XF, Gao J (2013) Uncertain differential games with application
to capitalism. J Uncertain Anal Appl 17:1
Yang XF, Gao J (2016) Linear-quadratic uncertain differential games
with application to resource extraction problem. IEEE Trans Fuzzy
Syst 24(6):1578–1585
Yao K (2013) Extreme values and integral of solution of uncertain dif-
ferential equation. J Uncertain Anal Appl 1:2
Yao K (2015a) A no-arbitrage theorem for uncertain stock model. Fuzzy
Optim Decis Making 14(2):227–242
Yao K (2015b) Uncertain contour process and its application in stock
model with floating interest rate. Fuzzy Optim Decis Making
14(4):399–424
Yao K, Chen XW (2013) A numerical method for solving uncertain
differential equations. J Intell Fuzzy Syst 25(3):825–832
Zhang Q, Zhou XY (2009) Valuation of stock loans with regime switch-
ing. SIAM J Control Optim 48(3):1229–1250
Zhang ZQ, Liu WQ (2014) Geometric average Asian option pricing for
uncertain financial market. J Uncertain Syst 8(4):317–320
Zhang ZQ, Ralescu DA, Liu WQ (2016a) Valuation of interest rate
ceiling and floor in uncertain financial market. Fuzzy Optim Decis
Making 15(2):139–154
Zhang ZQ, Liu WQ, Sheng YH (2016b) Valuation of power option for
uncertain financial market. Appl Math Comput 286:257–264
Zhu Y (2010) Uncertain optimal control with application to a portfolio
selection model. Cybern Syst 41(7):535–547
123