Uncertainty and absence of arbitrage opportunity

Yaroslav Ivanenko; Illya Pasichnichenko

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arXiv · 1307.5602

Uncertainty and absence of arbitrage opportunity

Yaroslav Ivanenko·Illya Pasichnichenko

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Abstract

It is shown that absence of arbitrage opportunity in financial markets is a particular case of existence of uncertainty in decision system. Absence of arbitrage opportunity is considered in the sense of the Arrow-Debreu model of financial market with a riskless asset, while uncertainty (or ambiguity) is defined on the basis of the principle of internal coherence of M. Allais.

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Yaroslav Ivanenko, Illya Pasichnichenko. 2013-07-22. Uncertainty and absence of arbitrage opportunity. https://arxiv.org/abs/1307.5602

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