No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate

DOI10.1007/s10700-016-9246-8zbMath1429.91321OpenAlexW2396734532MaRDI QIDQ1794950

Hua Ke, Xiaoyu Ji

Publication date: 16 October 2018

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-016-9246-8

zbMATH Keywords

financeuncertain differential equationno-arbitrage principlestock model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic analysis (60H99)

Related Items (1)

European option pricing model based on uncertain fractional differential equation

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