Stability of no-arbitrage property under model uncertainty

DOI10.1016/j.spl.2012.08.026zbMath1282.91113OpenAlexW2042572398MaRDI QIDQ1933703

Vladimir Ostrovski

Publication date: 25 January 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.08.026

zbMATH Keywords

stabilityrobustnesstotal variation distancefinancial marketno-arbitrage

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Related Items (4)

Distributionally robust profit opportunities ⋮ Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models ⋮ Realistic models of financial market and structural stability ⋮ Robust arbitrage conditions for financial markets

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