No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate

被引：0
作者：
Xiaoyu Ji
Hua Ke
机构：
[1] Renmin University of China,School of Business
[2] Tongji University,School of Economics and Management
来源：
Fuzzy Optimization and Decision Making | 2017年 / 16卷
关键词：
Finance; Stock model; No-arbitrage principle; Uncertain differential equation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In the stock models, the prices of the stocks are usually described via some differential equations. So far, uncertain stock model with constant interest rate has been proposed, and a sufficient and necessary condition for it being no-arbitrage has also been derived. This paper considers the multiple risks in the interest rate market and stock market, and proposes a multi-factor uncertain stock model with floating interest rate. A no-arbitrage theorem is derived in the form of determinants, presenting a sufficient and necessary condition for the new stock model being no-arbitrage. In addition, a strategy for the arbitrage is provided when the condition is not satisfied.
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页码：221 / 234
页数：13
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