Stability Analysis of Robust Arbitrage in a Random Interval Valued Financial Market |
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| Authors: | YOU Su-rong QU Zhe |
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| Affiliation: | 1. College of Science, Donghua University, Shanghai 201620, China
2. Data 1 Info-Tech Co.Ltd, Shanghai 201203, China |
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| Abstract: | Stability of robust arbitrage under different probability measures is discussed in a random interval valued financial market.In a fundamental financial market without robust arbitrages, a suitable condition is given to guarantee that the market with new probability measures will also have no robust arbitrage. In order to specify the result got in this article,an example of binomial tree financial model with interval ratios of change is proposed. |
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| Keywords: | random interval robust arbitrage stability analysis |
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