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An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty
Joint Authors
Yin, Zheng
Hu, Hanlei
Yuan, Weipeng
Source
Mathematical Problems in Engineering
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-06-19
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
In financial markets with volatility uncertainty, we assume that their risks are caused by uncertain volatilities and their assets are effectively allocated in the risk-free asset and a risky stock, whose price process is supposed to follow a geometric G-Brownian motion rather than a classical Brownian motion.
The concept of arbitrage is used to deal with this complex situation and we consider stock price dynamics with no-arbitrage opportunities.
For general European contingent claims, we deduce the interval of no-arbitrage price and the clear results are derived in the Markovian case.
American Psychological Association (APA)
Hu, Hanlei& Yin, Zheng& Yuan, Weipeng. 2017. An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty. Mathematical Problems in Engineering،Vol. 2017, no. 2017, pp.1-11.
https://search.emarefa.net/detail/BIM-1190790
Modern Language Association (MLA)
Hu, Hanlei…[et al.]. An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty. Mathematical Problems in Engineering No. 2017 (2017), pp.1-11.
https://search.emarefa.net/detail/BIM-1190790
American Medical Association (AMA)
Hu, Hanlei& Yin, Zheng& Yuan, Weipeng. An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty. Mathematical Problems in Engineering. 2017. Vol. 2017, no. 2017, pp.1-11.
https://search.emarefa.net/detail/BIM-1190790
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1190790