Stability of no-arbitrage property under model uncertainty

Vladimir Ostrovski

Statistics & Probability Letters, 2013, vol. 83, issue 1, 89-92

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.

Keywords: Stability; Robustness; Financial market; No-arbitrage; Total variation distance (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:1:p:89-92

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DOI: 10.1016/j.spl.2012.08.026

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