Stability of no-arbitrage property under model uncertainty

DOI10.1016/J.SPL.2012.08.026zbMATH Open1282.91113OpenAlexW2042572398MaRDI QIDQ1933703FDOQ1933703

Authors: Vladimir Ostrovski 

Publication date: 25 January 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.08.026

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zbMATH Keywords

robustnessstabilitytotal variation distancefinancial marketno-arbitrage

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Cited In (12)

• Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
• A no-arbitrage theorem for uncertain stock model
• Optimal arbitrage under model uncertainty
• Realistic models of financial market and structural stability
• Distributionally robust profit opportunities
• Title not available (Why is that?)
• No-arbitrage conditions and absolutely continuous changes of measure
• An interval of no-arbitrage prices in financial markets with volatility uncertainty
• No-arbitrage for informational discrete time market models
• Structural Stability of the Financial Market Model: Continuity of Superhedging Price and Model Approximation
• Structural stability threshold for the condition of robust no deterministic sure arbitrage with unbounded profit
• Robust arbitrage conditions for financial markets

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