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

Published on Jun 1, 2017in Fuzzy Optimization and Decision Making4.13
· DOI :10.1007/s10700-016-9246-8
Xiaoyu Ji7
Estimated H-index: 7
(RUC: Renmin University of China),
Hua Ke17
Estimated H-index: 17
(Tongji University)
Abstract
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.
  • References (24)
  • Citations (2)
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#1Xiao Wang (BIPT: Beijing Institute of Petrochemical Technology)H-Index: 1
#2Yufu NingH-Index: 1
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#1Ziqiang Lu (Nanjing University of Science and Technology)H-Index: 2
#2Hongyan Yan (NFU: Nanjing Forestry University)H-Index: 1
Last.Yuanguo Zhu (Nanjing University of Science and Technology)H-Index: 4
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2 CitationsSource