No-arbitrage with multiple-priors in discrete time
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Publication:2229558
DOI10.1016/J.SPA.2020.06.006zbMATH Open1458.91234arXiv1904.08780OpenAlexW3039619721MaRDI QIDQ2229558FDOQ2229558
Authors: Romain Blanchard, Laurence Carassus 
Publication date: 18 February 2021
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. This characterisation shows that it is indeed a well-chosen condition being equivalent to several previously used alternative notions of no-arbitrage and allowing the proof of important results in mathematical finance. We also revisit the so-called geometric and quantitative no-arbitrage conditions and explicit two important examples where all these concepts are illustrated.
Full work available at URL: https://arxiv.org/abs/1904.08780
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Cited In (7)
- No double discount: condition-based simultaneity yields limited gain
- On robust fundamental theorems of asset pricing in discrete time
- Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
- Model uncertainty: a reverse approach
- Short communication: Super-replication prices with multiple priors in discrete time
- A unified framework for robust modelling of financial markets in discrete time
- Quasi-sure essential supremum and applications to finance
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