Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8901733 | Journal of Computational and Applied Mathematics | 2018 | 12 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Weipeng Yuan, Shaoyong Lai,