5 papers
Discrete asset pricing under transaction costs and model uncertainty with and without short-sale constraints
Wenqing Zhang
We study discrete-time asset pricing with bid-ask spreads and model uncertainty. The family of probability measures enters the no-arbitrage condition through the union of its suppo…
Robust asset pricing and superhedging duality under model uncertainty with and without short-sale constraints
Shuzhen Yang, Wenqing Zhang
We study asset pricing and hedging under model uncertainty in discrete time and finite states. For the single-period model, we characterize no-arbitrage by the existence of strictl…
Uncertainty in the financial market and application to forecastabnormal financial fluctuations
Shige Peng, Shuzhen Yang, Wenqing Zhang
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the…
Sublinear expectation structure under countable state space
Shuzhen Yang, Wenqing Zhang
In this study, we propose the sublinear expectation structure under countable state space. To describe an interesting "nonlinear randomized" trial, based on a convex compact domain…
Fixed-point iterative algorithm for SVI model
Shuzhen Yang, Wenqing Zhang
The stochastic volatility inspired (SVI) model is widely used to fit the implied variance smile. Presently, most optimizer algorithms for the SVI model have a strong dependence on…