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No-arbitrage with multiple-priors in discrete time

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  • Romain Blanchard
  • Laurence Carassus

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.

Suggested Citation

  • Romain Blanchard & Laurence Carassus, 2019. "No-arbitrage with multiple-priors in discrete time," Papers 1904.08780, arXiv.org, revised Oct 2019.
    • Handle: RePEc:arx:papers:1904.08780
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    References listed on IDEAS

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    Cited by:

    1. Matteo Burzoni & Marco Maggis, 2019. "Arbitrage-free modeling under Knightian Uncertainty," Papers 1909.04602, arXiv.org, revised Apr 2020.
    2. Laurence Carassus & Massinissa Ferhoune, 2023. "Discrete time optimal investment under model uncertainty," Papers 2307.11919, arXiv.org, revised Feb 2024.
    3. Huy N. Chau, 2020. "On robust fundamental theorems of asset pricing in discrete time," Papers 2007.02553, arXiv.org, revised Apr 2024.

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