This paper extends the analysis presented in “Collective Arbitrage and the Value of Cooperation” by Biagini, Doldi, Fouque, Frittelli, and Meyer-Brandis (Finance and Stochastics 2025) to a general semimartingale market setting. We introduce the novel concept of a Collective Free Lunch and investigate the implications of the No Collective Free Lunch assumption within this framework. Furthermore, we establish the corresponding Fundamental Theorem of Asset Pricing and the pricing-hedging duality for general semimartingale markets.
Collective Free Lunch and the FTAP / M. Frittelli. - In: SIAM JOURNAL ON FINANCIAL MATHEMATICS. - ISSN 1945-497X. - 16:1(2025 Jan), pp. 53-67. [10.1137/24M1693039]
Collective Free Lunch and the FTAP
M. Frittelli
2025
Abstract
This paper extends the analysis presented in “Collective Arbitrage and the Value of Cooperation” by Biagini, Doldi, Fouque, Frittelli, and Meyer-Brandis (Finance and Stochastics 2025) to a general semimartingale market setting. We introduce the novel concept of a Collective Free Lunch and investigate the implications of the No Collective Free Lunch assumption within this framework. Furthermore, we establish the corresponding Fundamental Theorem of Asset Pricing and the pricing-hedging duality for general semimartingale markets.
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