A No-Arbitrage Determinant Theorem for Uncertain Stock Model

摘要：

　　Stock model is used to describe the evolution of stock price in the form of differential equations.In early years, the stock price was assumed to follow a stochastic differential equation driven by a Brownian motion, and some famous models such as Black-Scholes stock model and Black-Karasinski stock model were widely used.This paper assumes that the stock price follows an uncertain differential equation driven by a canonical process rather than Brownian motion, and accepts Liu”s stock model to simulate the uncertain market.Then this paper proves a no-arbitrage determinant theorem for Liu”s stock model and presents a sufficient and necessary condition for no-arbitrage.Finally, some examples are given to illustrate the usefulness of the no-arbitrage determinant theorem.

关键词： finance stock model no-arbitrage uncertainty theory uncertain differential equation

作者: Kai Yao

作者单位: Department of Mathematical Sciences,Tsinghua University,Beijing 100084,China

会议类型: 国内会议

会议名称: 第十届中国不确定系统年会、第十四届中国青年信息与管理学者大会

会议地点: 银川

会议语种:英文

页码: 11-19

在线出版日期: 2012-07-27（万方平台首次上网日期，不代表论文的发表时间）