Collective completeness and pricing hedging duality
Fuente:
arXiv
Guardado en:
| Autores principales: | , , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2025
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866909541055070208 |
|---|---|
| author | Doldi, Alessandro Frittelli, Marco Maggis, Marco |
| author_facet | Doldi, Alessandro Frittelli, Marco Maggis, Marco |
| contents | This paper builds on "Collective Arbitrage and the Value of Cooperation" by Biagini et al. (2025, forthcoming in "Finance and Stochastics"), which introduced in discrete time the notions of collective arbitrage and super-replication in a multi-agent market framework, where agents may operate in several submarkets and collaborate through risk exchange mechanisms. Expanding on these foundations, we establish a First Fundamental Theorem of Asset Pricing and a collective pricing-hedging duality under different assumptions and with new techniques compared to Biagini et al. (2025). We further introduce the notion of collective replication in order to study collective market completeness and provide a Second Fundamental Theorem of Asset Pricing in this cooperative multi-agent setting. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_14086 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Collective completeness and pricing hedging duality Doldi, Alessandro Frittelli, Marco Maggis, Marco Mathematical Finance This paper builds on "Collective Arbitrage and the Value of Cooperation" by Biagini et al. (2025, forthcoming in "Finance and Stochastics"), which introduced in discrete time the notions of collective arbitrage and super-replication in a multi-agent market framework, where agents may operate in several submarkets and collaborate through risk exchange mechanisms. Expanding on these foundations, we establish a First Fundamental Theorem of Asset Pricing and a collective pricing-hedging duality under different assumptions and with new techniques compared to Biagini et al. (2025). We further introduce the notion of collective replication in order to study collective market completeness and provide a Second Fundamental Theorem of Asset Pricing in this cooperative multi-agent setting. |
| title | Collective completeness and pricing hedging duality |
| topic | Mathematical Finance |
| url | https://arxiv.org/abs/2503.14086 |