An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty

Hu Hanlei; Yin Zheng; Yuan Weipeng

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An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty

机译：具有波动性不确定性的金融市场中无套利价格的区间

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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.

机译：在具有波动性不确定性的金融市场中，我们假设其风险是由不确定性波动性引起的，并且其资产有效地分配在无风险资产和风险股票中，其价格过程应该遵循几何G-布朗运动而不是遵循古典布朗运动。套利的概念被用来应对这种复杂的情况，我们考虑了没有套利机会的股价动态。对于欧洲的一般或有债权，我们推导出无套利价格的区间，在马尔可夫案中得出了明确的结果。

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《Mathematical Problems in Engineering》 |2017年第6期|5769205.1-5769205.11|共11页
作者
Hu Hanlei; Yin Zheng; Yuan Weipeng;
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Southern Univ Finance & Econ, Sch Econ andMathemat, Chengdu 611130, Sichuan, Peoples R China;

Southern Univ Finance & Econ, Sch Econ andMathemat, Chengdu 611130, Sichuan, Peoples R China;

Southern Univ Finance & Econ, Sch Econ andMathemat, Chengdu 611130, Sichuan, Peoples R China;

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An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty

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