Geometric criterion for a robust condition of no sure arbitrage with unlimited profit

DOI10.3103/S0278641920020077zbMath1452.91300OpenAlexW3085466772MaRDI QIDQ2212731

Sergey N. Smirnov

Publication date: 24 November 2020

Published in: Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0278641920020077

zbMATH Keywords

trading constraintsdeterministic market dynamicsarbitrage with unlimited profitstructural stability of the modeluncertainty of price movements

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial markets (91G15)

Related Items

Realistic models of financial market and structural stability ⋮ Structural stability threshold for the condition of robust no deterministic sure arbitrage with unbounded profit ⋮ A Guaranteed Deterministic Approach to Superhedging: Optimal Mixed Strategies of the Market and Their Supports

Cites Work

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• On the addition of convex sets in the hyperbolic plane
• Guaranteed deterministic approach to superhedging: properties of binary European option
• Convex Analysis

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