An interval of no-arbitrage prices in financial markets with volatility uncertainty
type: Item
instance of: scholarly article
title: An interval of no-arbitrage prices in financial markets with volatility uncertainty
zbMATH Open document ID: 1427.91276
DOI: 10.1155/2017/5769205
author: Hanlei Hu
author: Zheng Yin
author: Weipeng Yuan
published in: Mathematical Problems in Engineering
publication date: 2018-11-05T00:00:00Z
review text: Summary: 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.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 6972245
Wikidata QID: Q59147632
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2017/5769205
OpenAlex ID: W2702608272
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description: scientific article; zbMATH DE number 6972245