کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8901733 | 1631947 | 2018 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The CEV model and its application to financial markets with volatility uncertainty
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The CEV model and its application to financial markets with volatility uncertainty The CEV model and its application to financial markets with volatility uncertainty](/preview/png/8901733.png)
چکیده انگلیسی
We survey the financial markets whose risks are caused by uncertain volatilities. The financial markets focus on the assets which are effectively allocated in one risk-free asset and one risky asset, whose price process is governed by the constant elasticity of variance (CEV for short) model which contains the G-Brownian motion rather than the classical Brownian motion. Such the CEV model which includes the G-Brownian motion utilized to financial markets is the extension of the classical CEV model. Applying the concept of arbitrage and the properties of G-expectation, we consider stock price dynamics which exclude arbitrage opportunities. Moreover, the interval of no-arbitrage price for the general European contingent claims is found in the Markovian case.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 344, 15 December 2018, Pages 25-36
Journal: Journal of Computational and Applied Mathematics - Volume 344, 15 December 2018, Pages 25-36
نویسندگان
Weipeng Yuan, Shaoyong Lai,