No-arbitrage determinant theorems on mean-reverting stock model in uncertain market

被引：33
|
作者：
Yao, Kai [1 ]
机构：
[1] Tsinghua Univ, Dept Math Sci, Beijing 100084, Peoples R China
来源：
KNOWLEDGE-BASED SYSTEMS | 2012年 / 35卷
基金：
中国国家自然科学基金;
关键词：
Uncertainty theory; Finance; Stock model; No-arbitrage; Uncertain differential equation;
D O I：
10.1016/j.knosys.2012.05.008
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Stock model is used to describe the evolution of stock price in financial markets. Mean-reverting stock model in uncertain environment has been proposed to describe the stock price in long run. Arbitrage means that an investor can obtain profit without any risk, which does not exist in a complete market. This paper aims at proposing a sufficient condition as well as a necessary condition for an uncertain mean-reverting stock model being no-arbitrage. Besides, some examples are given to illustrate the usefulness of the no-arbitrage determinant theorem. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：259 / 263
页数：5
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