| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1152043 | Statistics & Probability Letters | 2013 | 4 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Vladimir Ostrovski,