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Stability Analysis of Robust Arbitrage in a Random Interval Valued Financial Market 被引量：1

Stability Analysis of Robust Arbitrage in a Random Interval Valued Financial Market
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摘要 Stability of robust arbitrage under different probability measures is discussed in a random interval valued financial market.In a fundamental financial market without robust arbitrages, a suitable condition is given to guarantee that the market with new probability measures will also have no robust arbitrage. In order to specify the result got in this article,an example of binomial tree financial model with interval ratios of change is proposed. Stability of robust arbitrage under different probability measures is discussed in a random interval valued financial market.In a fundamental financial market without robust arbitrages, a suitable condition is given to guarantee that the market with new probability measures will also have no robust arbitrage. In order to specify the result got in this article,an example of binomial tree financial model with interval ratios of change is proposed.
作者 尤苏蓉 瞿哲
机构地区 College of Science Data
出处 《Journal of Donghua University(English Edition)》 EI CAS 2014年第3期339-342,共4页 东华大学学报（英文版）
基金 the Fundamental Research Funds for the Central Universities,China
关键词 random interval robust arbitrage stability analysis random interval robust arbitrage stability analysis
分类号 O29 [理学—应用数学] F224 [经济管理—国民经济]
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参考文献9

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同被引文献19

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Journal of Donghua University(English Edition)
2014年 第3期

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