ORCID: https://orcid.org/0000-0001-9801-5259; Doldi, Alessandro; Fouque, Jean-Pierre; Frittelli, Marco und Meyer-Brandis, Thilo ORCID: https://orcid.org/0000-0002-6374-7983
(2025):
Collective Arbitrage and the Value of Cooperation.
Abstract
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to cooperate through exchanges. We accordingly establish versions of the fundamental theorem of asset pricing and of the pricing-hedging duality. A reduction of the price interval of the contingent claims can be obtained by applying the collective super-replication price.
| Dokumententyp: | Paper |
|---|---|
| Fakultät: | Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik |
| Themengebiete: | 500 Naturwissenschaften und Mathematik > 510 Mathematik |
| ISSN: | 0949-2984 |
| Sprache: | Englisch |
| Dokumenten ID: | 127379 |
| Datum der Veröffentlichung auf Open Access LMU: | 20. Aug. 2025 08:58 |
| Letzte Änderungen: | 20. Aug. 2025 08:58 |
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