No-arbitrage with multiple-priors in discrete time

2019/04/18 by Blanchard, Romain, Carassus, Laurence · 1 citation
#FOS: Economics and business #Mathematical Finance (q-fin.MF)

paper · doi:10.48550/arxiv.1904.08780

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.

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