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:	2013
Authors:	Ostrovski, Vladimir
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 1, p. 89-92
Publisher:	Elsevier
Subject:	Stability \| Robustness \| Financial market \| No-arbitrage \| Total variation distance

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010593909