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Uncertainty and absence of arbitrage opportunity

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  • Yaroslav Ivanenko
  • Illya Pasichnichenko

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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File URL: http://arxiv.org/pdf/1307.5602
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Paper provided by arXiv.org in its series Papers with number 1307.5602.

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Date of creation: Jul 2013
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Handle: RePEc:arx:papers:1307.5602

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Web page: http://arxiv.org/

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  1. Kerry Back, 2010. "Martingale Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 235-250, December.
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