No-arbitrage with multiple-priors in discrete time

DOI10.1016/J.SPA.2020.06.006MaRDI QIDQ2229558zbMATH OpenOpenAlexFDO

Authors Romain Blanchard, Laurence Carassus

Publication date 18 February 2021

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.08780

zbMATH Keywords

Knightian uncertaintyno-arbitragenon-dominated modelmultiple-priors

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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.

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Cited in

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• 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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