Stability of No-Arbitrage Property Under Model Uncertainty

We study the stability of the no-arbitrage property under model uncertainty. We measure model uncertainty with the total variation distance of underlying probability distributions. We show that sufficiently small changes of the underlying probability distribution preserve the no-arbitrage property of the financial market model

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Year of publication:	2017
Authors:	Ostrovski, Vladimir
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Risiko \| Risk \| Entscheidung unter Unsicherheit \| Decision under uncertainty

Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Statistics & Probability Letters, Volume 83, Issue 1, January 2013, Pages 89–92 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments Janurary 1, 2012 erstellt
Classification:	A10 - General Economics. General ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

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