No-arbitrage with multiple-priors in discrete time

DOI10.1016/j.spa.2020.06.006zbMath1458.91234arXiv1904.08780OpenAlexW3039619721MaRDI QIDQ2229558

Laurence Carassus, Romain Blanchard

Publication date: 18 February 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.08780

zbMATH Keywords

Knightian uncertaintyno-arbitragenon-dominated modelmultiple-priors

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Related Items (4)

Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ Model Uncertainty: A Reverse Approach

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