An interval of no-arbitrage prices in financial markets with volatility uncertainty (Q1992892)

From MaRDI portal
Revision as of 05:33, 17 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
An interval of no-arbitrage prices in financial markets with volatility uncertainty
scientific article

    Statements

    An interval of no-arbitrage prices in financial markets with volatility uncertainty (English)
    0 references
    0 references
    0 references
    0 references
    5 November 2018
    0 references
    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.
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references