We investigate different notions of arbitrage in a multiple-priors setting in discrete time . We revisit the so-called quasi-sure no-arbitrage condition and prove a geometric and a quantitative version of it . We also study three alternative notions and provide conditions for all these definitions to be equivalent. Finally, we propose two concrete examples illustrating these various concepts .
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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We investigate different notions of arbitrage in a
In a discrete time and
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setting in discrete time . We revisit the so-called
setting, we propose a new characterisation of the condition of
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condition and prove a geometric and a quantitative version of it
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
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study three alternative notions and provide conditions for all these definitions to be equivalent. Finally, we propose two concrete examples illustrating these various concepts
revisit the so-called geometric and quantitative no-arbitrage conditions and explicit two important examples where all these concepts are illustrated