Properties of No-Arbitrage in Fuzzy Financial Market

摘要：

In this paper,we give the definition of arbitrage opportunity and two fundamental properties of no-arbitrage principle based on the fuzzy financial market.Without the rigorous mathematical model of underlying assets,we obtain some important properties of option value through no-arbitrage principle in fuzzy financial market and put forward a qualitative description.Finally,as an application,we analyze the dependent relationship of option value on the strike price by the properties of no-arbitrage principle.

关键词： Fuzzy variety no-arbitrage option value

作者: Yingna Fu Jizhou Zhang

作者单位: College of Mathematics and Sciences,Shanghai Normal University,Shanghai 200234,P.R.China

会议类型: 国内会议

会议名称: 第三届中国智能计算大会

会议地点: 济南

会议语种:英文

页码: 246-249

在线出版日期: 2009-05-15（万方平台首次上网日期，不代表论文的发表时间）