Semi-static completeness and robust pricing by informed investors

DOI10.1214/16-AAP1259zbMath1415.91249arXiv1510.01890OpenAlexW2753440607MaRDI QIDQ1676440

Beatrice Acciaio, Martin Larsson

Publication date: 7 November 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.01890

zbMATH Keywords

extreme pointsfiltration enlargementrobust financeinformed pricingsemi-static completeness

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (8)

The space of outcomes of semi-static trading strategies need not be closed ⋮ Reduced-form framework for multiple ordered default times under model uncertainty ⋮ Non-linear affine processes with jumps ⋮ Robust Framework for Quantifying the Value of Information in Pricing and Hedging ⋮ Duality for pathwise superhedging in continuous time ⋮ Robust statistical arbitrage strategies ⋮ Reduced-form framework under model uncertainty ⋮ Model-independent pricing with insider information: a skorokhod embedding approach

This page was built for publication: Semi-static completeness and robust pricing by informed investors