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Stability of no-arbitrage property under model uncertainty

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  • Ostrovski, Vladimir

Abstract

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.

Suggested Citation

  • Ostrovski, Vladimir, 2013. "Stability of no-arbitrage property under model uncertainty," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 89-92.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:1:p:89-92
    DOI: 10.1016/j.spl.2012.08.026
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    Cited by:

    1. Derek Singh & Shuzhong Zhang, 2021. "Robust Arbitrage Conditions for Financial Markets," SN Operations Research Forum, Springer, vol. 2(3), pages 1-52, September.
    2. Derek Singh & Shuzhong Zhang, 2020. "Robust Arbitrage Conditions for Financial Markets," Papers 2004.09432, arXiv.org.
    3. Derek Singh & Shuzhong Zhang, 2020. "Distributionally Robust Profit Opportunities," Papers 2006.11279, arXiv.org.

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