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Semi-static completeness and robust pricing by informed investors

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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Identification Number: 10.1214/16-AAP1259


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:
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: 16 May 2024 02:27

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