Robust Pricing by Informed Investors

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：Ling_cheng

【摘要】

：

　　Well-informed agents can hedge more efficiently than poorly informed agents,even if they have access to the same set of traded securities.In a robust framew

【作者】

：

AcciaioBeatrice;

【机构】

：

LSE

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　Well-informed agents can hedge more efficiently than poorly informed agents,even if they have access to the same set of traded securities.In a robust framework with semi-static trading opportunities,we study super-hedging prices obtained by agents with different filtrations.We find that informed agents compute super-hedging prices using only those probability measures that render the additional information inconsequential.The theory of filtration enlargement and the notion of semi-static completeness play an important role.

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Robust Pricing by Informed Investors

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