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.
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页码：89 / 92
页数：4
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