Acciaio, Beatrice and Larsson, Martin (2017) Semi-static completeness and robust pricing by informed investors. Annals of Applied Probability, 27 (4). pp. 2270-2304. ISSN 1050-5164
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Abstract
We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust framework where a set of nondominated models is given. The concept of semi-static completeness is introduced: it corresponds to having exact replication by means of semi-static strategies. We show that semi-static completeness is equivalent to an extremality property, and give a characterization of the induced filtration structure. Furthermore, we consider investors with additional information and, for specific types of extra information, we characterize the models that are semi-statically complete for the informed investors. Finally, we provide some examples where robust pricing for informed and uninformed agents can be done over semi-statically complete models.
| Item Type: | Article |
|---|---|
| Official URL: | https://imstat.org/journals-and-publications/annal... |
| Additional Information: | © 2016 Institute of Mathematical Statistics |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HG Finance |
| Date Deposited: | 02 Dec 2016 14:27 |
| Last Modified: | 12 Dec 2024 01:23 |
| URI: | http://eprints.lse.ac.uk/id/eprint/68502 |
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