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

Volume: 16, Issue: 2, Pages: 221 - 234
Published: May 17, 2016
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...
Paper Details
Title
No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate
Published Date
May 17, 2016
Volume
16
Issue
2
Pages
221 - 234
Citation AnalysisPro
  • Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
  • Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.