Uncertainty and absence of arbitrage opportunity
General Finance
2013-07-23 v1
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.
Keywords
Cite
@article{arxiv.1307.5602,
title = {Uncertainty and absence of arbitrage opportunity},
author = {Yaroslav Ivanenko and Illya Pasichnichenko},
journal= {arXiv preprint arXiv:1307.5602},
year = {2013}
}
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16 pages