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arXiv · 1904.08780

No-arbitrage with multiple-priors in discrete time

Romain Blanchard·Laurence Carassus
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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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Romain Blanchard, Laurence Carassus. 2019-04-18. No-arbitrage with multiple-priors in discrete time. https://arxiv.org/abs/1904.08780

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