Stability of no-arbitrage property under model uncertainty

被引：3
|
作者：
Ostrovski, Vladimir
机构：
[1] Niederbeckstr. 23
来源：
STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 01期
关键词：
Stability; Robustness; Financial market; No-arbitrage; Total variation distance;
D O I：
10.1016/j.spl.2012.08.026
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：89 / 92
页数：4
相关论文
共 50 条
  • [31] No-Arbitrage Principle in Conic Finance
    Vazifedan, Mehdi
    Zhu, Qiji Jim
    RISKS, 2020, 8 (02) : 1 - 34
  • [32] No-arbitrage bounds for financial scenarios
    Geyer, Alois
    Hanke, Michael
    Weissensteiner, Alex
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2014, 236 (02) : 657 - 663
  • [33] On the closedness of sums of convex cones in L0 and the robust no-arbitrage property
    Kabanov, Y
    Rásonyi, M
    Stricker, C
    FINANCE AND STOCHASTICS, 2003, 7 (03) : 403 - 411
  • [34] A Model-Free No-arbitrage Price Bound for Variance Options
    J. Frédéric Bonnans
    Xiaolu Tan
    Applied Mathematics & Optimization, 2013, 68 : 43 - 73
  • [35] No-arbitrage conditions in discrete financial models
    Urusov, MA
    RUSSIAN MATHEMATICAL SURVEYS, 1999, 54 (05) : 1053 - 1055
  • [36] A comparison of two no-arbitrage conditions
    Miao Wang
    Jiang-Lun Wu
    Frontiers of Mathematics in China, 2014, 9 : 929 - 946
  • [37] A No-Arbitrage Structural Vector Autoregressive Model of the UK Yield Curve
    Kaminska, Iryna
    OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2013, 75 (05) : 680 - 704
  • [38] Pricing by hedging and no-arbitrage beyond semimartingales
    Bender, Christian
    Sottinen, Tommi
    Valkeila, Esko
    FINANCE AND STOCHASTICS, 2008, 12 (04) : 441 - 468
  • [39] No-arbitrage concepts in topological vector lattices
    Platen, Eckhard
    Tappe, Stefan
    POSITIVITY, 2021, 25 (05) : 1853 - 1898
  • [40] A simple and general approach to fitting the discount curve under no-arbitrage constraints
    Fengler, Matthias R.
    Hin, Lin-Yee
    FINANCE RESEARCH LETTERS, 2015, 15 : 78 - 84
12345