Semi-static completeness and robust pricing by informed investors
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 non-dominated 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.
Keywords
Cite
@article{arxiv.1510.01890,
title = {Semi-static completeness and robust pricing by informed investors},
author = {Beatrice Acciaio and Martin Larsson},
journal= {arXiv preprint arXiv:1510.01890},
year = {2016}
}